论文标题
单位连接保险单的差异和利率风险
Variance and interest rate risk in unit-linked insurance policies
论文作者
论文摘要
出售任何保险公司拥有的长期政策所带来的风险之一是利率。在本文中，我们考虑了以前方差形式编写的一般性随机波动率模型。我们还处理随机利率，以获取单位连接的人寿保险合同的无风险价格，并通过完成市场来提供完美的对冲策略。我们以模拟实验结束，在该实验中，我们使用挪威死亡率对单位链接的政策进行定价。此外，我们将经典黑色 - choles模型的价格与Vasicek利率模型的赫斯顿随机波动率模型进行了比较。
One of the risks derived from selling long term policies that any insurance company has, arises from interest rates. In this paper we consider a general class of stochastic volatility models written in forward variance form. We also deal with stochastic interest rates to obtain the risk-free price for unit-linked life insurance contracts, as well as providing a perfect hedging strategy by completing the market. We conclude with a simulation experiment, where we price unit-linked policies using Norwegian mortality rates. In addition we compare prices for the classical Black-Scholes model against the Heston stochastic volatility model with a Vasicek interest rate model.
