| 离散时间单位连结人寿保险合同的局部风险最小对冲策略 |
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| 引用本文： | 王春发. 离散时间单位连结人寿保险合同的局部风险最小对冲策略[J]. 数学的实践与认识, 2004, 34(2): 58-64 |
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| 作者姓名： | 王春发 |
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| 作者单位： | 浙江财经学院金融分院,杭州,310012 |
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| 摘 要： | 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 .
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| 关 键 词： | 不完全市场 局部风险最小 最小广义鞅测度 单位关联人寿保险合同 |
| 修稿时间： | 2002-03-29 |
Local Risk-Minimization Hedging for Unit-Linked Life Insurance Contracts in Discrete Time |
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| WANG Chun-fa. Local Risk-Minimization Hedging for Unit-Linked Life Insurance Contracts in Discrete Time[J]. Mathematics in Practice and Theory, 2004, 34(2): 58-64 |
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| Authors: | WANG Chun-fa |
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| Abstract: | A unit-linked pure endowment life insurance contract is a contract where the insurance benefits depend on the price of some specific traded stocks. By issuing such contracts, insurer is exposed to a financial risk and mortality risk. Thus the insurance contracts are characterized as contingent claims in an incomplete market, such that they cannot be perfectly duplicated by means of self-financial strategies. In this paper, we propose the method of local risk-minimization hedging for incomplete markets to hedge insurer risks. |
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| Keywords: | incomplete market local risk-minimization minimal signed martingale measure unit-linked life insurance contract |
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