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Pansera, Jérôme

Discrete-time local risk minimization of payment processes and applications to equity-linked life-insurance contracts. (English) Zbl 1235.91104

Insur. Math. Econ. 50, No. 1, 1-11 (2012).
Summary: We develop a theory of local risk minimization for payment processes in discrete time, and apply this theory to the pricing and hedging of equity-linked life-insurance contracts. Thus, we extend the work of T. Møller [N. Am. Actuar. J. 5, No. 2, 79–95 (2001; Zbl 1083.91546)] in several directions: from risk minimization (which is done under a martingale measure) to local risk minimization (which is done under an arbitrary measure), from single claims to payment processes, from complete financial markets to possibly incomplete financial markets, from a single risky asset to several risky assets, and from finite state spaces to general state spaces.

Cited in 8 Documents

MSC:

91B30 Risk theory, insurance (MSC2010)

Keywords:

local risk minimization; locally risk-minimizing hedging strategy; minimal martingale measure; incomplete market; enlargement of filtration; equity-indexed annuity; unit-linked life insurance

Citations:

Zbl 1083.91546
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Full Text: DOI

References:

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