ORCID: https://orcid.org/0000-0001-9801-5259 and Zhang, Yinglin
(2016):
Polynomial diffusion models for life insurance liabilities.
In: Insurance Mathematics & Economics, Vol. 71: pp. 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.
| Item Type: | Journal article |
|---|---|
| Faculties: | Mathematics, Computer Science and Statistics > Mathematics > Workgroup Financial Mathematics |
| Subjects: | 500 Science > 510 Mathematics |
| ISSN: | 0167-6687 |
| Language: | English |
| Item ID: | 47362 |
| Date Deposited: | 27. Apr 2018, 08:12 |
| Last Modified: | 12. Sep 2024, 13:44 |
Actions (login required)
- View Item
