کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5076104 1477198 2017 14 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Indifference pricing of a life insurance portfolio with risky asset driven by a shot-noise process
ترجمه فارسی عنوان
قیمت گذاری بی تفاوتی پرتفوی بیمه زندگی با دارایی خطرناکی که توسط یک فرایند شلیک صدای هدایت می شود
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
چکیده انگلیسی

In this paper, we investigate the pricing problem for a portfolio of life insurance contracts where the life contingent payments are equity-linked depending on the performance of a risky stock or index. The shot-noise effects are incorporated in the modeling of stock prices, implying that sudden jumps in the stock price are allowed, but their effects may gradually decline over time. The contracts are priced using the principle of equivalent utility. Under the assumption of exponential utility, we find the optimal investment strategy and show that the indifference premium solves a non-linear partial integro-differential equation (PIDE). The Feynman-Kač form solutions are derived for two special cases of the PIDE. We further discuss the problem for the asymptotic shot-noise process, and find the probabilistic representation of the indifference premium. We also provide some numerical examples and analyze parameter sensitivities for the results obtained in this paper.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 77, November 2017, Pages 119-132
نویسندگان
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