随机利率权益连结保险合同的局部风险最小化

Local risk-minimizing for equity-linked insurance contracts with stochastic interest rate

权益连结人寿保险合同是保险利益依赖于某特定股票价格的保险合同.考虑一个同时描述含具有随机利率的金融市场和被保险人寿命不确定性的模型.由于不完全性,不能利用可交易的股票和债券完全对冲掉保险合同的风险.提出利用不完全市场的局部风险最小对冲方法对冲保险者的风险.在利率是随机的情况下,通过概率测度变换来确定权益连结保险合同的局部风险最小对冲交易策略.给出了相应的内在风险过程.最后,给出了一个关于局部风险最小对冲误差与均值—方差对冲误差的比较结果.

A equity-linked life insurance contract is a contract in which the insurance benefits depend on the price of some specific traded stocks. In this paper, we consider a model describing the uncertainty of the financial market with stochastic interest rates and a lifetimes of insured individuals simultaneously. Due to incompleteness, the insurance claim can not be hedged completely by trading stocks and bonds only. We use the theory of local risk minimization for incomplete markets to determine hedging strategies for equity-linked life insurance contracts with stochastic interest rates. We first determine locally risk-minimizing trading strategies by a change of probability measure. We also determine the associated intrinsic risk process for the equity-linked insurance contract. Finally, we provide a comparative result on the hedging errors in local risk-minimization and mean-variance hedging for this model.