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Erscheinungsjahr: 
2016
Quellenangabe: 
[Journal:] Risks [ISSN:] 2227-9091 [Volume:] 4 [Issue:] 3 [Publisher:] MDPI [Place:] Basel [Year:] 2016 [Pages:] 1-26
Verlag: 
MDPI, Basel
Zusammenfassung: 
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.
Schlagwörter: 
insurance liabilities
doubly stochastic Markov chains
risk minimization
JEL: 
C02
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