Theory of Probability and Mathematical Statistics

On the pricing of equity-linked life insurance contracts in Gaussian financial environment

Author(s): A. V. Melnikov; M. L. Nechaev
Original publication: Teoriya Imovirnostei ta Matematichna Statistika, vipusk 70 (2004).
Journal: Theor. Probability and Math. Statist. No. 70 (2005), 105-111.
MSC (2000): Primary 60H30; Secondary 91B28, 91B30
Posted: August 12, 2005
Retrieve article in: PDF

Abstract: The paper deals with the problem of pricing an equity-linked insurance contract based on stock prices. The stock prices are supposed to follow a stochastic exponent model with respect to a given Gaussian martingale. The model gives a possibility to obtain unified formulas for ``mean-variance'' hedging and the corresponding premium for both natural cases: Black-Scholes and Gaussian discrete time models.

1.: O. Glonti and Z. Khechinashvili, Financial -market with Gaussian martingale mean square optimal hedging strategies, Proc. A. Razmadze Math. Inst. 115 (1997), 33-43. MR 1639100 (99j:90010)
2.: R. Liptser and A. N. Shiryaev, Theory of Martingales, ``Nauka'', 1986. (Russian) MR 0886678 (88h:60091)
3.: T. Møller, Risk-minimizing hedging strategies for unit-linked life insurance contracts, Astin Bulletin 28 (1998), no. 1.
4.: A. N. Shiryaev, Essentials of Stochastic Financial Mathematics, World Sci., River Edge, NJ, 1999. MR 1695318 (2000e:91085)

Retrieve articles in Theory of Probability and Mathematical Statistics with MSC (2000): 60H30, 91B28, 91B30

A. V. Melnikov
Affiliation: Steklov Mathematical Institute, Gubkina 8, Moscow 117966, Russia
Address at time of publication: Department of Mathematical and Statistical Sciences, University of Alberta, Edmonton, Alberta T6G 2G1, Canada

M. L. Nechaev
Affiliation: Steklov Mathematical Institute, Gubkina 8, Moscow 117966, Russia

DOI: 10.1090/S0094-9000-05-00634-4
PII: S 0094-9000(05)00634-4
Keywords: Hedging, $(B, S)$-market, contingent claim, insurance liabilities, insurance premiums and claims
Received by editor(s): 12/MAR/2003
Posted: August 12, 2005
Additional Notes: This paper was partially supported by grants of NSERC and SSHRC
Copyright of article: Copyright 2005, American Mathematical Society

			Journals Home Search Author Info Subscribe Tech Support Help
ISSN: 1547-7363(e) 0094-9000(p)

Previous number \| Table of contents \| Next number Recently posted articles \| Most recent number \| All numbers Previous Article \| Next Article


	Comments: webmaster@ams.org © Copyright 2009, American Mathematical Society Privacy Statement		Search the AMS