关键词: 均值-方差准则, 对冲策略, 投资连结寿险, 有效策略

Abstract:

In this paper, the authors try to hedge the life insurance claims under the mean-variance criterion. The hedging portfolio is constructed for
unit-linked life insurance contracts with a term insurance payment. Premiums are supposed to be payed as single premium at the
beginning. It is  assumed that the insurer can invest in a risk-free asset (bond) and a risky asset (stock). The price of the risky asset is described by a geometric Brownian motion. Using stochastic control theory, the efficient strategy (hedging strategy) and the efficient
frontier are obtained.

Key words: Mean-variance criterion, Hedging strategy, Unit-linked life insurance, Efficient frontier