Acta mathematica scientia,Series A ›› 2011, Vol. 31 ›› Issue (5): 1141-1149.

• Articles •     Next Articles

Hedging Unit-linked Life Insurance Contracts under Mean-variance Criterion

 BI Jun-Na, GUO Jun-Yi   

  1. School of Mathematical Sciences, Nankai University, Tianjin 300071
  • Received:2009-07-12 Revised:2010-08-02 Online:2011-10-25 Published:2011-10-25
  • Supported by:

    国家自然科学基金(10871102)和高等学校博士学科点专项科研基金(20090031110001)资助

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

CLC Number: 

  • 91B30
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