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Hedging of unit-linked life insurance contracts with unobservable mortality hazard rate via local risk-minimization
Recurso electrónico / electronic resource
MAP20150006271
Ceci, Claudia ‌
Hedging of unit-linked life insurance contracts with unobservable mortality hazard rate via local risk-minimization / Claudia Cecia, Katia Colaneria, Alessandra Cretarolab
Sumario: In this paper we investigate the local risk-minimization approach for a combined financial-insurance model where there are restrictions on the information available to the insurance company. In particular we assume that, at any time, the insurance company may observe the number of deaths from a specific portfolio of insured individuals but not the mortality hazard rate. We consider a financial market driven by a general semimartingale and we aim to hedge unit-linked life insurance contracts via the local risk-minimization approach under partial information. The FöllmerSchweizer decomposition of the insurance claim and explicit formulas for the optimal strategy for pure endowment and term insurance contracts are provided in terms of the projection of the survival process on the information flow. Moreover, in a Markovian framework, this leads to a filtering problem with point process observations
En: Insurance : mathematics and economics. - Oxford : Elsevier, 1990- = ISSN 0167-6687. - 12/01/2015 Volumen 60 Número - enero 2015 , p. 47-60
1. Matemática del seguro ‌. 2. Mortalidad ‌. 3. Minimización de riesgos ‌. 4. Mercado de seguros ‌. 5. Cálculo actuarial ‌. I. Colaneria, Katia ‌. II. Cretarolab, Alessandra ‌. III. Title.