For discrete time case a characterization of locally risk-minimizing strategies is given. Based on this characterization, it is evident that risk-minimizing strategies must be locally risk-minimizing.
The equity-indexed annuity （EIA） contract offers a proportional participation in the performance of a specified equity index, in addition to a guaranteed return on the single premium. How to manage the risk of the E...The equity-indexed annuity （EIA） contract offers a proportional participation in the performance of a specified equity index, in addition to a guaranteed return on the single premium. How to manage the risk of the EIA is an important issue. This paper considers the hedging of the EIA. We assume that the parameters of the financial model depend on a continuous-time finite-state Markov chain and the Markov chain is observed, that is the Markov regime switching model. The state of the Markov chain can be interpreted as the state of an economy. Under the regime switching model~ we obtain the risk-minimizing hedging strategy for the EIA.展开更多
文摘For discrete time case a characterization of locally risk-minimizing strategies is given. Based on this characterization, it is evident that risk-minimizing strategies must be locally risk-minimizing.
基金Supported by National Natural Science Foundation of China(11231005,11301189)Humanity and Social Science Youth Foundation of Ministry of Education of China(12YJC910006,12YJC910009)+4 种基金Doctoral Program Foundation of the Ministry of Education of China(20130076120007,20110076110004)Shanghai Municipal Natural Science Foundation(12ZR1408300)Program of Shanghai Subject Chief Scientist(14XD1401600)the 111 Project(B14019)Zhejiang Provincial Natural Science Foundation of China(LQ12A01006)
文摘The equity-indexed annuity （EIA） contract offers a proportional participation in the performance of a specified equity index, in addition to a guaranteed return on the single premium. How to manage the risk of the EIA is an important issue. This paper considers the hedging of the EIA. We assume that the parameters of the financial model depend on a continuous-time finite-state Markov chain and the Markov chain is observed, that is the Markov regime switching model. The state of the Markov chain can be interpreted as the state of an economy. Under the regime switching model~ we obtain the risk-minimizing hedging strategy for the EIA.
