基于局部风险最小化的不可观测死亡风险率的投资连结寿险合同套期保值
Hedging of unit-linked life insurance contracts with unobservable mortality hazard rate via local risk-minimization
摘要：
在本文中，我们研究了当地的风险最小化方法的组合金融保险模型，其中有限制的信息提供给保险公司。特别是，我们假设，在任何时候，保险公司可以观察到的死亡人数从一个特定的投资组合的投保人，但不是死亡率的风险率。考虑了一般半鞅驱动的金融市场，在部分信息下，利用局部风险最小化方法对单位连结寿险合约进行套期保值。根据生存过程在信息流上的投影，给出了保险索赔的Föllmer-Schweizer分解和纯养老保险和定期保险合同的最优策略的显式公式.此外，在马尔可夫框架下，我们减少解决点过程观测的过滤问题。
英文摘要：
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 Föllmer-Schweizer 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, we reduce to solve a filtering problem with point process observations.
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