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Hedging life insurance with pure endowments

✍ Scribed by Erhan Bayraktar; Virginia R. Young


Book ID
108153098
Publisher
Elsevier Science
Year
2007
Tongue
English
Weight
267 KB
Volume
40
Category
Article
ISSN
0167-6687

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## Abstract We consider the risk‐minimizing hedging problem for unit‐linked life insurance in a financial market driven by a shot‐noise process. Because the financial market is incomplete, the insurance claims cannot be hedged completely by trading stocks and bonds only, leaving some risk to the in