Polynomial diffusion models for life insurance liabilities

Biagini, Francesca und Zhang, Yinglin (2016): Polynomial diffusion models for life insurance liabilities. In: Insurance Mathematics & Economics, Bd. 71: S. 114-129

Abstract

In this paper we study the pricing and hedging problem of a portfolio of life insurance products under the benchmark approach, where the reference market is modelled as driven by a state variable following a polynomial diffusion on a compact state space. Such a model can be used to guarantee not only the positivity of the OIS short rate and the mortality intensity, but also the possibility of approximating both pricing formula and hedging strategy of a large class of life insurance products by explicit formulas. (C) 2016 Elsevier B.V. All rights reserved.

• Dokumententyp: Zeitschriftenartikel
• Fakultät: Mathematik, Informatik und Statistik > Mathematik > Finanz- und Versicherungsmathematik
• Themengebiete: 500 Naturwissenschaften und Mathematik > 510 Mathematik
• ISSN: 0167-6687
• Sprache: Englisch