基于套期保值的三步估值:存在系统性风险时的公允估值

IF 1.7 3区经济学 Q2 ECONOMICS

ASTIN Bulletin Pub Date : 2023-03-14 DOI:10.1017/asb.2023.8

Daniël Linders

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引用次数: 4

摘要

摘要本文介绍了基于套期保值的三步估值方法。我们考虑一个保险组合，它暴露于交易风险、可分散风险和非交易系统风险。基于对冲的三步估值类别等同于公允估值类别。在假定财务风险和非财务风险独立的情况下，导出了一个单位关联合同组合的闭型解。我们还考虑了加性三步估值，并表明这种加性估值是更一般的三步对冲估值的成员。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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The 3-step hedge-based valuation: fair valuation in the presence of systematic risks

Abstract In this paper, we introduce the 3-step hedge-based valuation for the valuation of hybrid claims. We consider an insurance portfolio which is exposed to traded risks, diversifiable risks and non-traded systematic risks. The class of 3-step hedge-based valuations is equivalent with the class of fair valuations. Closed-form solutions are derived for a portfolio of unit-linked contracts under the assumption of independence between financial and non-financial risks. We also consider the additive 3-step valuation and show that this additive valuation is a member of the more general class of 3-step hedge-based valuations.

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来源期刊

ASTIN Bulletin 数学-数学跨学科应用

CiteScore

3.20

自引率

5.30%

发文量

审稿时长

>12 weeks

期刊介绍： ASTIN Bulletin publishes papers that are relevant to any branch of actuarial science and insurance mathematics. Its papers are quantitative and scientific in nature, and draw on theory and methods developed in any branch of the mathematical sciences including actuarial mathematics, statistics, probability, financial mathematics and econometrics.