Wei Wang, Linyi Qian, Wensheng Wang, "Hedging Strategy for Unit-Linked Life Insurance Contracts in Stochastic Volatility Models," WSEAS Transactions on Mathematics, vol. 12, pp. -, 2013, DOI:
Wei Wang, Linyi Qian, Wensheng Wang. Hedging Strategy for Unit-Linked Life Insurance Contracts in Stochastic Volatility Models.
WSEAS Transactions on Mathematics. 2013;12:-.
WSEAS Transactions on Mathematics
Print ISSN: 1109-2769, E-ISSN: 2224-2880
Volume 12, 2013
Hedging Strategy for Unit-Linked Life Insurance Contracts in Stochastic Volatility Models
Authors: , ,
Abstract: A general class of stochastic volatility model is considered for modeling risky asset. This class of stochastic volatility model contains most of those without jump component which are commonly used in research. We obtain the minimal martingale measure and locally risk minimizing hedging strategy in these models, and employ the results to the unit-linked life insurance contracts. Moreover, we also investigate the locally risk min- imizing hedging strategy for unit-linked life insurance contracts in a Barndorff-Nielsen and Shephard stochastic volatility model.
Pages: - WSEAS Transactions on Mathematics, ISSN / E-ISSN: 1109-2769 / 2224-2880, Volume 12, 2013DOI: *As the DOI is a unique identifier, it is already available in the pdf version.
**The DOI link will be activated in the first midst of January 2026.
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