Hedging strategy for unit-linked life insurance contracts with self-exciting jump clustering

DOI10.3934/jimo.2021072OpenAlexW3151887508MaRDI QIDQ2086919

Zhixin Yang, Yang Shen, Wei Wang, Lin-Yi Qian

Publication date: 26 October 2022

Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/jimo.2021072

zbMATH Keywords

unit-linked life insuranceHawkes processhedging strategyminimal martingale measurelocal risk-minimization

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Actuarial mathematics (91G05)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Modelling security market events in continuous time: intensity based, multivariate point process models
• Local risk-minimization for Barndorff-Nielsen and Shephard models
• The uncertain mortality intensity framework: pricing and hedging unit-linked life insurance contracts
• Risk processes with non-stationary Hawkes claims arrivals
• Exact simulation of Hawkes process with exponentially decaying intensity
• A locally risk-minimizing hedging strategy for unit-linked life insurance contracts in a Lévy process financial market
• The Föllmer-Schweizer decomposition: comparison and description
• Numerical solution of stochastic differential equations with jumps in finance
• Pricing contingent claims on stocks driven by Lévy processes
• \(\mathcal E\)-martingales and their applications in mathematical finance
• Hedging of unit-linked life insurance contracts with unobservable mortality hazard rate via local risk-minimization
• Optimal strategies for hedging portfolios of unit-linked life insurance contracts with minimum death guarantee
• Unit-linked life insurance policies: optimal hedging in partially observable market models
• Discrete-time local risk minimization of payment processes and applications to equity-linked life-insurance contracts
• Hedging life insurance contracts in a Lévy process financial market
• NUMERICAL ANALYSIS ON LOCAL RISK-MINIMIZATION FOR EXPONENTIAL LÉVY MODELS
• Limit Theorems for a Cox-Ingersoll-Ross Process with Hawkes Jumps
• Affine Point Processes and Portfolio Credit Risk
• Risk-Minimizing Hedging Strategies for Unit-Linked Life Insurance Contracts
• Bond and option pricing for interest rate model with clustering effects
• Mean-Variance Portfolio Selection in Contagious Markets
• Stochastic Calculus and Applications
• Insiders’ hedging in a stochastic volatility model
• Insiders' hedging in a jump diffusion model
• Spectra of some self-exciting and mutually exciting point processes