Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/167891
Authors: 
Biagini, Francesca
Groll, Andreas
Widenmann, Jan
Luo, Xiaolin
Year of Publication: 
2016
Citation: 
[Journal:] Risks [ISSN:] 2227-9091 [Volume:] 4 [Year:] 2016 [Issue:] 3 [Pages:] 1-26
Abstract: 
We study risk-minimization for a large class of insurance contracts. Given that the individual progress in time of visiting an insurance policy's states follows an F-doubly stochastic Markov chain, we describe different state-dependent types of insurance benefits. These cover single payments at maturity, annuity-type payments and payments at the time of a transition. Based on the intensity of the F-doubly stochastic Markov chain, we provide the Galtchouk-Kunita-Watanabe decomposition for a general insurance contract and specify risk-minimizing strategies in a Brownian financial market setting. The results are further illustrated explicitly within an affine structure for the intensity.
Subjects: 
insurance liabilities
doubly stochastic Markov chains
risk minimization
JEL: 
C02
Persistent Identifier of the first edition: 
Creative Commons License: 
http://creativecommons.org/licenses/by/4.0/
Document Type: 
Article
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