英文标题：
《Indifference pricing of pure endowments via BSDEs under partial
  information》
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作者：
Claudia Ceci, Katia Colaneri, Alessandra Cretarola
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最新提交年份：
2020
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英文摘要：
  In this paper we investigate the pricing problem of a pure endowment contract when the insurer has a limited information on the mortality intensity of the policyholder. The payoff of this kind of policies depends on the residual life time of the insured as well as the trend of a portfolio traded in the financial market, where investments in a riskless asset, a risky asset and a longevity bond are allowed. We propose a modeling framework that takes into account mutual dependence between the financial and the insurance markets via an observable stochastic process, which affects the risky asset and the mortality index dynamics. Since the market is incomplete due to the presence of basis risk, in alternative to arbitrage pricing we use expected utility maximization under exponential preferences as evaluation approach, which leads to the so-called indifference price. Under partial information this methodology requires filtering techniques that can reduce the original control problem to an equivalent problem in complete information. Using stochastic dynamics techniques, we characterize the indifference price of the insurance derivative via the solutions of suitable backward stochastic differential equations.
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中文摘要：
本文研究了当保险人对投保人的死亡强度信息有限时，纯养老保险合同的定价问题。此类保单的回报取决于被保险人的剩余寿命以及金融市场中交易的投资组合的趋势，在金融市场中，允许投资于无风险资产、风险资产和长寿债券。我们提出了一个建模框架，该框架通过一个可观察的随机过程来考虑金融和保险市场之间的相互依赖，这会影响风险资产和死亡率指数动态。由于基差风险的存在，市场是不完整的，因此，除了套利定价之外，我们使用指数偏好下的预期效用最大化作为评估方法，这导致了所谓的无差异价格。在部分信息下，这种方法需要过滤技术，可以将原始控制问题简化为完全信息中的等效问题。利用随机动力学技术，我们通过适当的倒向随机微分方程的解来刻画保险衍生品的无差别价格。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Mathematical Finance        数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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