Hedging Equity-Linked Life Insurance Contracts
Hedging Equity-Linked Life Insurance Contracts
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DOI：
10.1080/10920277.2001.10595986
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发表时间：
2001-04
影响因子：
1.4
通讯作者：
T. Møller
中科院分区：
文献类型：
--
作者：
T. Møller
摘要 本文研究了股票挂钩人寿保险合同的投资组合，并确定了离散时间设置内风险最小化的对冲策略。作为一个主要例子，我考虑 Cox-Ross-Rubinstein 模型和与股票挂钩的纯捐赠合同，根据该合同，保单持有人如果当时还活着，则在时间 T 收到 max(ST , K)，其中 ST 是合同期限 T 时股票指数的价值，K 是合同规定的担保。与大多数现有文献相反，我将合同视为不完整模型中的或有债权，并讨论了选择对冲策略的最优性标准的问题。随后的分析对保险公司采用风险最小化策略和保险公司不进行对冲的两种情况下股票挂钩合同固有的风险（通过保险公司损失的方差来衡量）进行了比较。本文包含的数值结果可用于量化对冲效果，并描述这种效果如何随保险组合规模和死亡率假设而变化。
Abstract This paper examines a portfolio of equity-linked life insurance contracts and determines risk-minimizing hedging strategies within a discrete-time setup. As a principal example, I consider the Cox-Ross-Rubinstein model and an equity-linked pure endowment contract under which the policyholder receives max(ST , K) at time T if he or she is then alive, where ST is the value of a stock index at the term T of the contract and K is a guarantee stipulated by the contract. In contrast to most of the existing literature, I view the contracts as contingent claims in an incomplete model and discuss the problem of choosing an optimality criterion for hedging strategies. The subsequent analysis leads to a comparison of the risk (measured by the variance of the insurer’s loss) inherent in equity-linked contracts in the two situations where the insurer applies the risk-minimizing strategy and the insurer does not hedge. The paper includes numerical results that can be used to quantify the effect of hedging and describe how this effect varies with the size of the insurance portfolio and assumptions concerning the mortality.