Cari colleghi,
Giovedì 12 marzo 2015 ore 12 in aula IV Via Belle Arti 41, Bologna
Alessandra Cretarola dell'Università di Perugia
terrà un seminario dal titolo:
“Risk-minimizing hedging strategies for unit-linked life insurance
contracts under partial information”
Abstract:
We study the problem of hedging unit-linked life insurance contracts in incomplete markets when
there are restrictions on the available information by using the local risk-minimization approach.
This type of insurance contract is closely related to the financial market since benefits depend on
the development of a certain stock price. Then, it makes sense to consider the combined model
given by the underlying semimartingale model of financial market and the insurance portfolio.
Firstly, we refer to the case of complete information on the insurance portfolio and a limitative
knowledge on the financial market. More precisely, we assume that, at any time, the insurance
company has access to the information about the number of policy-holders who are still alive but it
has a partial information about the stock prices. We characterize the risk-minimizing hedging
strategy for pure endowment contracts when the underlying price process is expressed in units of
the numéraire portfolio and the mortality hazard rate is a deterministic function, and then we
compute it explicitly in a Markovian jump-diffusion driven market model.
Next, we consider the case where there are restrictions on the information concerning the
insurance portfolio. In particular we assume that, at any time, the insurance company has a
complete knowledge of the financial market and may observe the number of deaths from a specific
portfolio of insured individuals but not the mortality hazard rate, which may depend on
unobservable exogenous stochastic factors. We characterize the locally risk-minimizing hedging
strategy for pure endowment and term insurance contracts in terms of the projection of the survival
process on the information flow. Finally, we see that in a Markovian framework, this leads to a
filtering problem with point process observations. The talk is based on joint works with Claudia
Ceci and Katia Colaneri.
Un caro saluto a tutti Sabrina Mulinacci