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首页> 外文期刊>The journal of risk and insurance >PRICING AND HEDGING VARIABLE ANNUITIES IN A LEVY MARKET: A RISK MANAGEMENT PERSPECTIVE
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PRICING AND HEDGING VARIABLE ANNUITIES IN A LEVY MARKET: A RISK MANAGEMENT PERSPECTIVE

机译：在市场上定价和对冲各种年金：风险管理的观点

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摘要

Pricing and hedging life insurance contracts with minimum guarantees are major areas of concern for insurers and researchers. In this article, we propose a unified framework for pricing, hedging, and assessing the risk embedded in the guarantees offered by Variable Annuities in a Levy market. We address these questions from a risk management perspective. This method proves to be fast, accurate, and efficient. For hedging, we use a local risk minimization to provide a concise formula for the optimal hedging ratio. We also consider hedging strategies that use a portfolio of standard options. For assessing risk, we introduce an accumulated discounted loss function that takes mortality, transaction costs, and fees into account. We apply our resulting unified framework to the Minimum Guarantees for Maturity Benefit, Death Benefit, and Accumulation Benefit contracts. We illustrate the whole method with CGMY and Kou processes, which prove to offer a realistic modeling for financial prices. From this application, we draw important practical implications. In particular, we show that the assumption of geometric Brownian motion leads to undervalue the actual economic capital necessary to hedge and gives an illusion of safety.
机译：以最低保证金定价和对冲人寿保险合同是保险公司和研究人员关注的主要领域。在本文中，我们提出了一个统一的框架，用于定价，对冲和评估征费市场中可变年金所提供的担保中包含的风险。我们从风险管理的角度解决这些问题。这种方法被证明是快速，准确和高效的。对于套期保值，我们使用本地风险最小化来提供最佳套期保值比率的简洁公式。我们还考虑使用标准期权组合的对冲策略。为了评估风险，我们引入了累积折现损失函数，该函数考虑了死亡率，交易成本和费用。我们将由此产生的统一框架应用于最低限度的到期日利益，死亡利益和累积利益合同担保。我们用CGMY和Kou流程说明了整个方法，事实证明可以为金融价格提供一个现实的模型。从此应用程序中，我们得出了重要的实际含义。特别是，我们证明了几何布朗运动的假设导致低估了对冲所必需的实际经济资本，并给人一种安全的幻觉。

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