共查询到12条相似文献,搜索用时 62 毫秒
1.
王春发 《数学的实践与认识》2004,34(2):58-64
单位连结人寿保险合同是保险利益依赖于某特定股票的价格的保险合同 .当保险公司发行这样的保险合同后 ,保险公司将面临金融和被保险人死亡率两类风险 .因此这样的保险合同相当于不完全金融市场上的或有索取权 ,不能利用自我融资交易策略复制出 .本文提出利用不完全市场的局部风险最小对冲方法对冲保险者的风险 .我们在离散时间的框架下给出了局部风险最小对冲策略 . 相似文献
2.
连续时间单位连结人寿保险合同的局部风险最小对冲策略 总被引:1,自引:0,他引:1
单位连结人寿保险合同是保险利益依赖于某特定股票的价格的保险合同。本提出利用不完全市场的局部风险最小对冲方法对冲保险的风险。我们在连续时间的框架下给出了局部风险最小对冲策略。 相似文献
3.
权益连结生存人寿保险合同是保险金依赖于某类特定股票的价格的保险合同 .本文主要利用Schweizer[3]引入的不完全市场的局部风险最小理论确定单位关联人寿保险合同的局部风险最小对冲策略 . 相似文献
4.
本文主要研究对冲(套期保值)者的债务由一般的支付流描述时的局部风险最小对冲策略决定问题。我们在风险资产的价格过程在原概率测度下为半鞅的假设下,证明了局部风险最小对冲策略的存在性和唯一性。我们的结果包含了以前的局部风险最小对冲策略。在鞅的情形中,我们的局部风险最小对冲策略简化为Moller[5]的风险最小对冲策略。 相似文献
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We consider the risk‐minimizing hedging problem for unit‐linked life insurance in a financial market driven by a shot‐noise process. Because the financial market is incomplete, the insurance claims cannot be hedged completely by trading stocks and bonds only, leaving some risk to the insurer. The theory of ((pseudo) locally) risk‐minimization is applied after a change of measure. Then the risk‐minimizing trading strategies and the associated intrinsic risk processes are determined for two types of unit‐linked contracts represented by the pure endowment and the term insurance. Copyright © 2009 John Wiley & Sons, Ltd. 相似文献
6.
毛宏 《应用数学与计算数学学报》2000,14(2):88-92
本文提出人寿保险合同复效的决策分析问题,通过建立计算方程分别计算保险合同复效方案和重新购买新保单方案的净保费现值,为投保人选择最佳方案提供一种科学的定量分析方法,本文还借助于计算机定量分析若干因素对方案选择的影响,并讨论利息率的敏感性分析。 相似文献
7.
Michael Kirch 《随机分析与应用》2013,31(6):1213-1233
Abstract This paper is devoted to the problem of hedging contingent claims in the framework of a two factors jump-diffusion model under initial budget constraint. We give explicit formulas for the so called efficient hedging. These results are applied for the pricing of equity linked-life insurance contracts. 相似文献
8.
本文在投资基金价格服从几何布朗运动假设下,根据布朗运动的定义和Schwarz不等式得到了具有最小保证金和分期付费的投资连结保险保费的一个上限,并通过Monte Carlo模拟方法检验了它的合理性.这结论对于此保险的定价具有较大的理论与实践意义. 相似文献
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10.
Jérôme Pansera 《Insurance: Mathematics and Economics》2012,50(1):1-11
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 Møller (2001a) 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.Moreover, we show that, when tradable financial assets are independent of mortality, a locally risk-minimizing hedging strategy for most claims in the combined financial and mortality market (such as those arising from equity-indexed annuities) may be expressed as the product of two simpler locally risk-minimizing hedging strategies: one for a purely financial claim, the other for a traditional (i.e. non-equity-linked) life-insurance claim.Finally, we also show, under general assumptions, that the minimal measure for the combined market is the product of the minimal measure for the financial market and the physical measure for the mortality. 相似文献
11.
近年来我国寿险市场发展迅速,已成为全球第二大寿险市场.自2008年金融危机以来国际国内均对经济政策EPU指数施以更多关注.从定性和定量两个角度分析EPU指数对我国寿险市场需求的影响,运用向量自回归模型实证分析EPU指数对寿险市场需求的影响程度,基于实证分析结论为寿险市场健康发展提出相应的政策建议. 相似文献