Corpus ID: 199668706

Mean-variance hedging of unit linked life insurance contracts in a jump-diffusion model

  title={Mean-variance hedging of unit linked life insurance contracts in a jump-diffusion model},
  author={Frank Bosserhoff and M. Stadje},
  journal={arXiv: Portfolio Management},
  • Frank Bosserhoff, M. Stadje
  • Published 2019
  • Mathematics, Economics
  • arXiv: Portfolio Management
  • We consider a time-consistent mean-variance portfolio selection problem of an insurer and allow for the incorporation of basis (mortality) risk. The optimal solution is identified with a Nash subgame perfect equilibrium. We characterize an optimal strategy as solution of a system of partial integro-differential equations (PIDEs), a so called extended Hamilton-Jacobi-Bellman (HJB) system. We prove that the equilibrium is necessarily a solution of the extended HJB system. Under certain conditions… CONTINUE READING

    Figures and Tables from this paper


    Dynamic Mean-Variance Asset Allocation
    • 375
    • Highly Influential
    • PDF
    Mean-Variance Portfolio Selection with Random Parameters in a Complete Market
    • 190
    • PDF
    Time-Consistent Portfolio Selection under Short-Selling Prohibition: From Discrete to Continuous Setting
    • 32
    • PDF
    Investment and consumption without commitment
    • 177
    • PDF
    Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework
    • 742
    • PDF
    Time-consistent mean-variance portfolio selection in discrete and continuous time
    • 71
    • PDF
    Time-inconsistent stochastic control: solving the extended HJB system is a necessary condition for regular equilibria
    • 4
    • Highly Influential
    Measuring Basis Risk in Longevity Hedges
    • 199
    Financial Modelling with Jump Processes
    • 2,168
    • Highly Influential
    Modelling and Management of Mortality Risk: A Review
    • 211
    • PDF