Tax- and expense-modified risk-minimization for insurance payment processes
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Tax- and expense-modified risk-minimization for insurance payment processes. / Buchardt, Kristian; Furrer, Christian; Møller, Thomas.
I: Scandinavian Actuarial Journal, Bind 2020, Nr. 10, 2020, s. 934–961.Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt
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TY - JOUR
T1 - Tax- and expense-modified risk-minimization for insurance payment processes
AU - Buchardt, Kristian
AU - Furrer, Christian
AU - Møller, Thomas
PY - 2020
Y1 - 2020
N2 - We study the problem of determining risk-minimizing investment strategies for insurance payment processes in the presence of taxes and expenses. We consider the situation where taxes and expenses are paid continuously and symmetrically and introduce the concept of tax- and expense-modified risk-minimization. Risk-minimizing strategies in the presence of taxes and expenses are derived and linked to Galtchouk-Kunita-Watanabe decompositions associated with modified versions of the original payment processes. Furthermore, we show equivalence to an alternative approach involving an artificial market consisting of after-tax and after-expense assets, and we establish – in a certain sense – consistency with classic risk-minimization. Finally, a case study involving classic multi-state life insurance payments in combination with a bond market exemplifies the results.
AB - We study the problem of determining risk-minimizing investment strategies for insurance payment processes in the presence of taxes and expenses. We consider the situation where taxes and expenses are paid continuously and symmetrically and introduce the concept of tax- and expense-modified risk-minimization. Risk-minimizing strategies in the presence of taxes and expenses are derived and linked to Galtchouk-Kunita-Watanabe decompositions associated with modified versions of the original payment processes. Furthermore, we show equivalence to an alternative approach involving an artificial market consisting of after-tax and after-expense assets, and we establish – in a certain sense – consistency with classic risk-minimization. Finally, a case study involving classic multi-state life insurance payments in combination with a bond market exemplifies the results.
U2 - 10.1080/03461238.2020.1790413
DO - 10.1080/03461238.2020.1790413
M3 - Journal article
VL - 2020
SP - 934
EP - 961
JO - Scandinavian Actuarial Journal
JF - Scandinavian Actuarial Journal
SN - 0346-1238
IS - 10
ER -
ID: 249245298