离散时间单位连结人寿保险合同的局部风险最小对冲策略  

Local Risk-Minimization Hedging for Unit-Linked Life Insurance Contracts in Discrete Time

作　　者：王春发[1] 

机构地区：[1]浙江财经学院金融分院,杭州310012

出　　处：《数学的实践与认识》2004年第2期58-64,共7页Mathematics in Practice and Theory

摘　　要：单位连结人寿保险合同是保险利益依赖于某特定股票的价格的保险合同 .当保险公司发行这样的保险合同后 ,保险公司将面临金融和被保险人死亡率两类风险 .因此这样的保险合同相当于不完全金融市场上的或有索取权 ,不能利用自我融资交易策略复制出 .本文提出利用不完全市场的局部风险最小对冲方法对冲保险者的风险 .我们在离散时间的框架下给出了局部风险最小对冲策略 .A unit-linked pure endowment life insurance contract is a contract where the insurance benefits depend on the price of some specific traded stocks. By issuing such contracts, insurer is exposed to a financial risk and mortality risk. Thus the insurance contracts are characterized as contingent claims in an incomplete market, such that they cannot be perfectly duplicated by means of self-financial strategies. In this paper, we propose the method of local risk-minimization hedging for incomplete markets to hedge insurer risks.

关 键 词：局部风险最小对冲策略 单位连结人寿保险合同 股票市场 离散时间 DOOB分解 保险公司 

分 类 号：F224[经济管理—国民经济]