投资连结保险单的差异和利率风险
Variance and interest rate risk in unit-linked insurance policies
摘要：
任何保险公司出售长期保单的风险之一来自利率。本文考虑一类一般的正向方差形式的随机波动率模型。我们还处理随机利率，以获得无风险价格的单位连接人寿保险合同，以及提供一个完美的对冲策略，通过完善市场。最后，我们的模拟实验，在那里我们的价格单位挂钩的政策使用挪威的死亡率。此外，我们比较价格的经典布莱克-斯科尔斯模型对赫斯顿随机波动率模型与Vasicek利率模型。
英文摘要：
One of the risks derived from selling long term policies that any insurance company has, arises from interest rates. In this paper we consider a general class of stochastic volatility models written in forward variance form. We also deal with stochastic interest rates to obtain the risk-free price for unit-linked life insurance contracts, as well as providing a perfect hedging strategy by completing the market. We conclude with a simulation experiment, where we price unit-linked policies using Norwegian mortality rates. In addition we compare prices for the classical Black-Scholes model against the Heston stochastic volatility model with a Vasicek interest rate model.
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