Polynomial diffusion models for life insurance liabilities

被引：10

作者：

Biagini, Francesca ^{[1
,2
]}

Zhang, Yinglin ^{[1
]}

机构：

[1] LMU, Dept Math, Theresienstr 39, D-80333 Munich, Germany

[2] Univ Oslo, Dept Math, Box 1053, N-0316 Oslo, Norway

来源：

INSURANCE MATHEMATICS & ECONOMICS | 2016年 / 71卷

关键词：

Life insurance liability; Polynomial diffusion; Benchmark approach; Stochastic mortality intensity; Benchmarked risk-minimization; LOCAL RISK-MINIMIZATION; MORTALITY; VALUATION;

D O I：

10.1016/j.insmatheco.2016.08.008

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

In this paper we study the pricing and hedging problem of a portfolio of life insurance products under the benchmark approach, where the reference market is modelled as driven by a state variable following a polynomial diffusion on a compact state space. Such a model can be used to guarantee not only the positivity of the OIS short rate and the mortality intensity, but also the possibility of approximating both pricing formula and hedging strategy of a large class of life insurance products by explicit formulas. (C) 2016 Elsevier B.V. All rights reserved.

引用

页码：114 / 129

页数：16

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