CVaR-hedging and its applications to equity-linked life insurance contracts with transaction costs  

作　　者：Alexander Melnikov Hongxi Wan 

机构地区：[1]Department of Mathematical and Statistical Sciences,University of Alberta,T6G 2G1 Edmonton,Canada

出　　处：《Probability, Uncertainty and Quantitative Risk》2021年第4期343-368,共26页概率、不确定性与定量风险（英文）

基　　金：Natural Sciences and Engineering Research Council of Canada(Grant No.RES0043487).

摘　　要：This paper analyzes Conditional Value-at-Risk(CVaR)based partial hedging and its applications on equity-linked life insurance contracts in a Jump-Diffusion market model with transaction costs.A nonlinear partial differential equation(PDE)that an option value process inclusive of transaction costs should satisfy is provided.In particular,the closed-form expression of a European call option price is given.Meanwhile,the CVaR-based partial hedging strategy for a call option is derived explicitly.Both the CVaR hedging price and the weights of the hedging portfolio are based on an adjusted volatility.We obtain estimated values of expected total hedging errors and total transaction costs by a simulation method.Furthermore,our results are implemented to derive target clients’survival probabilities and age of equity-linked life insurance contracts.

关 键 词：Conditional Value-at-Risk Jump-diffusion model Option pricing Transaction costs Equity-linked life insurance contracts 

分 类 号：O17[理学—数学]