Polynomial diffusion models for life insurance liabilities
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Publication:2374102
Abstract: In this paper we study the pricing and hedging problem of a portfolio of life insurance products under the benchmark approach, where the reference market is modelled as driven by a state variable following a polynomial diffusion on a compact state space. Such a model guarantees not only the positivity of the OIS short rate and the mortality intensity, but also the possibility of approximating both pricing formula and hedging strategy of a large class of life insurance products by explicit formulas.
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Cited in
(15)- On the application of Thiele's differential equation in life insurance
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- Markov cubature rules for polynomial processes
- Polynomial processes in stochastic portfolio theory
- Infinite-dimensional polynomial processes
- Reduced-form framework under model uncertainty
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- Abstract polynomial processes
- Polynomial Volterra processes
- Parameter estimation for partially observed affine and polynomial processes
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