Alexander Melnikov
Department of Mathematical & Statistical Sciences, University
of Alberta, Edmonton
Efficient Hedging and Pricing of Equity-Linked Life Insurance
Contracts
Abstract
The talk is devoted to
how hedging methodologies developed in the modern financial mathematics can
be exploited to price equity-linked life insurance contracts. In this talk,
pure endowment life insurance contracts with fixed and flexible guarantees
are considered. In our setting they are based on some variants of the Black-Scholes
model and a jump-diffusion model for underlying risky assets. The main attention
is paid to new types of hedging (quantile and efficient hedging), which, together
with Black-Scholes and Margrabe formulae, create an effective actuarial analysis
of such mixed investment instruments.
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