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Risk-minimizing Hedging Strategy for an Equity-indexed Annuity under a Regime Switching Model
《Acta Mathematicae Applicatae Sinica》2015年第1期101-110,共10页Lin-yi QIAN Wei WANG Rong-ming WANG 
Supported by National Natural Science Foundation of China(11231005,11301189);Humanity and Social Science Youth Foundation of Ministry of Education of China(12YJC910006,12YJC910009);Doctoral Program Foundation of the Ministry of Education of China(20130076120007,20110076110004);Shanghai Municipal Natural Science Foundation(12ZR1408300);Program of Shanghai Subject Chief Scientist(14XD1401600);the 111 Project(B14019);Zhejiang Provincial Natural Science Foundation of China(LQ12A01006)
The equity-indexed annuity （EIA） contract offers a proportional participation in the performance of a specified equity index, in addition to a guaranteed return on the single premium. How to manage the risk of the E...
关键词：equity-indexed annuity regime switching  risk-minimization 
Valuation of equity-indexed annuities with regime-switching jump diffusion risk and stochastic mortality risk被引量：1
《Science China Mathematics》2012年第11期2335-2346,共12页QIAN LinYi WANG RongMing WANG Shuai 
supported by National Natural Science Foundation of China (Grant Nos.10971068 and 11231005);Shanghai Municipal Natural Science Foundation (Grant No. 12ZR1408300);Humanity and Social Science Youth Foundation of Ministry of Education of China (Grant No. 12YJC910006);Doctoral Program Foundation of the Ministry of Education of China (Grant No. 20110076110004);Program for New Century Excellent Talents in University (Grant No. NCET-09-0356);the Fundamental Research Funds for the Central Universities
This paper extends the model and analysis of Lin, Tan and Yang （2009）. We assume that the financial market follows a regime-switching jump-diffusion model and the mortality satisfies Levy process. We price the point...
关键词：compound poisson process Levy process stochastic mortality REGIME-SWITCHING equity-indexedannuity 
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