کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5076246 1477205 2016 9 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Hedging insurance books
ترجمه فارسی عنوان
هدر دادن کتاب های بیمه
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
چکیده انگلیسی

Complex insurance risks typically have multiple exposures. If available, options on multiple underliers with a short maturity can be employed to hedge this exposure. More precisely, the present value of aggregate payouts is hedged using least squares, ask price minimization, and ask price minimization constrained to long only option positions. The proposed hedges are illustrated for hypothetical Variable Annuity contracts invested in the nine sector ETF's of the US economy. We simulate the insurance accounts by simulating risk-neutrally the underliers by writing them as transformed correlated normals; the physical and risk-neutral evolution is taken in the variance gamma class as a simple example of a non-Gaussian limit law. The hedges arising from ask price minimization constrained to long only option positions delivers a least cost and most stable result.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 70, September 2016, Pages 364-372
نویسندگان
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