摘要翻译：
我们考虑依赖于外部物理风险过程的保险衍生品，例如低维气候模型中的温度。我们假设这一过程与交易性金融资产相关。我们从终端财富中推导出指数效用的最优策略，确定了衍生品的无差异价格，并用多样化压力对其进行了解释。此外，我们还检验了标准可容许准则下的最优投资策略。最后，我们比较了与保险衍生品相关的静态风险和由于动态投资相关资产而降低的风险。我们发现动态套期保值通过一个与相关性相关的因子降低了风险厌恶。
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英文标题：
《Optimal cross hedging for insurance derivatives》
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作者：
Stefan Ankirchner, Peter Imkeller, Alexandre Popier
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最新提交年份：
2007
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Mathematics        数学
二级分类：Optimization and Control        优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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一级分类：Mathematics        数学
二级分类：Probability        概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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一级分类：Quantitative Finance        数量金融学
二级分类：Risk Management        风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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英文摘要：
  We consider insurance derivatives depending on an external physical risk process, for example a temperature in a low dimensional climate model. We assume that this process is correlated with a tradable financial asset. We derive optimal strategies for exponential utility from terminal wealth, determine the indifference prices of the derivatives, and interpret them in terms of diversification pressure. Moreover we check the optimal investment strategies for standard admissibility criteria. Finally we compare the static risk connected with an insurance derivative to the reduced risk due to a dynamic investment into the correlated asset. We show that dynamic hedging reduces the risk aversion in terms of entropic risk measures by a factor related to the correlation.
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PDF链接：
https://arxiv.org/pdf/0705.3760