کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5077183 | 1374120 | 2008 | 10 صفحه PDF | دانلود رایگان |
![عکس صفحه اول مقاله: A locally risk-minimizing hedging strategy for unit-linked life insurance contracts in a Lévy process financial market A locally risk-minimizing hedging strategy for unit-linked life insurance contracts in a Lévy process financial market](/preview/png/5077183.png)
In [Riesner, M., 2006. Hedging life insurance contracts in a Lévy process financial market. Insurance Math. Econom. 38, 599-608] the (locally) risk-minimizing hedging strategy for unit-linked life insurance contracts is determined in an incomplete financial market driven by a Lévy process. The considered risky asset is not a martingale under the original measure and therefore, a change of measure to the minimal martingale measure is performed.The goal of this paper is to show that the risk-minimizing hedging strategy under the new martingale measure which is found in the paper cited above is not the locally risk-minimizing strategy under the original measure. Finally, the real locally risk-minimizing strategy is derived and a relationship between the number of risky assets held in the proposed portfolio cited in the above-mentioned paper and the one proposed here is given.
Journal: Insurance: Mathematics and Economics - Volume 42, Issue 3, June 2008, Pages 1128-1137