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AuthorRiesner, Martindc.contributor.author
Date of accession2016-03-14T13:38:56Zdc.date.accessioned
Available in OPARU since2016-03-14T13:38:56Zdc.date.available
Year of creation2006dc.date.created
AbstractThe main aim of this thesis is the development of locally risk-minimizing hedging strategies for unit-linked life insurance contracts whose unit is modeled in a general Lévy-process financial market. It therefore merges the quite advanced and in recent years developed theory of Lévy-process financial markets with the theory of unit-linked life insurances and provides moreover a quadratic hedging framework for insurance payment streams exposed to pure financial and pure insurance risk. In summary this thesis is part of the ongoing research on the interface between financial and actuarial mathematics and generalizes the earlier work of Moeller (1998,2001) in the sense that the complete Black-Scholes financial market is replaced by an incomplete financial market in case of a more general geometric Lévy-driven model. We first derive the locally risk-minimizing hedging strategy and the associated hedging risk for a portfolio of unit-linked pure endowment and a portfolio of unit-linked term insurance contracts assuming that they are sold against a single premium at issuing date and that their insurance benefits are deferred, while earning interest, and cashed out at the end of the considered time horizon. In a subsequent chapter we show that locally risk-minimizing hedging also extends to hedging of payment streams if the Föllmer-Schweizer measure is used. Finally we derive, in a general Lévy-process financial market, locally risk-minimizing hedging strategies for general unit-linked life insurance contracts admitting intermediate premiums and benefits. Additionally we apply the asymmetric double exponential jump diffusion stock model to our setting and investigate its behavior under a Föllmer-Schweizer change of measure. The last chapter provides a parameter estimation method for this jump-diffusion model. It is based on the empirical characteristic function.dc.description.abstract
Languageendc.language.iso
PublisherUniversität Ulmdc.publisher
LicenseStandard (Fassung vom 03.05.2003)dc.rights
Link to license texthttps://oparu.uni-ulm.de/xmlui/license_v1dc.rights.uri
KeywordFöllmer-Schweizer measuredc.subject
KeywordGaltchouk-Kunita-Watanabe decompositiondc.subject
KeywordLocal risk-minimizationdc.subject
KeywordPayment streamsdc.subject
KeywordUnit-linked life insurancedc.subject
Dewey Decimal GroupDDC 330 / Economicsdc.subject.ddc
LCSHHedging: Financedc.subject.lcsh
LCSHJump processesdc.subject.lcsh
LCSHLévy processesdc.subject.lcsh
LCSHParameter estimationdc.subject.lcsh
LCSHRisk: Insurancedc.subject.lcsh
TitleUnit-linked life insurance in Lévy-process financial markets - modeling, hedging and statisticsdc.title
Resource typeDissertationdc.type
DOIhttp://dx.doi.org/10.18725/OPARU-389dc.identifier.doi
URNhttp://nbn-resolving.de/urn:nbn:de:bsz:289-vts-57130dc.identifier.urn
FacultyFakultät für Mathematik und Wirtschaftswissenschaftenuulm.affiliationGeneral
Date of activation2006-11-09T12:13:04Zuulm.freischaltungVTS
Peer reviewneinuulm.peerReview
Shelfmark print versionZ: J-H 11.284 ; N: J-H 5.156uulm.shelfmark
DCMI TypeTextuulm.typeDCMI
VTS-ID5713uulm.vtsID
CategoryPublikationenuulm.category


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