报告题目：Hedging strategy for unit-linked life insurance contracts with jump clustering effects

报告人：钱林义 教授 华东师范大学

时间：2019年10月30日 上午9:30-10:30

地点：管研楼1418

摘要：This talk reports the hedging problem of unit-linked life insurance contracts in an incomplete market presence of self-exciting (clustering)  effect, which is described by a Hawkes process. Applying the local risk minimization method, we manage to obtain closed-form expressions of the locally risk-minimizing hedging strategies for both pure endowment and term insurance contracts. Besides, we demonstrate the existence of the minimal martingale measure and perform numerical analyses. Our numerical results indicate that jump clustering has a significant impact on the optimal hedging strategies.

钱林义，男，华东师范大学经济与管理学部统计学院教授，博士生导师，中国准精算师，上海市曙光学者。研究方向为保险精算，金融数学。在Bernoulli、Insurance: Mathematics and Economics等国际知名期刊发表论文20多篇，专著1本，主持国家课题2项，省部级课题6项，作为子课题负责人参与一项国家社科重大课题、一项国家自然科学基金重点课题。曾获上海瑞士再保险精算科学奖三等奖、第十一届全国统计科研优秀成果奖二等奖、上海市优秀博士论文奖等奖项。