Journal of Mathematical Sciences: Advances and ApplicationsAuthor's: Werner Hürlimann
Pages: [7] - [27]
Received Date: October 19, 2015
Submitted by:
DOI: http://dx.doi.org/10.18642/jmsaa_7100121556
A specific actuarial protection model, which is based on a stable excess-of-loss reserve, is proposed as theoretical model of risk management for use in ALM. It is related to four option strategies, which are described and discussed. The first option strategy refers to a risky mean self-financing realization of the actuarial protection model. A second option strategy supposes that the hedging instrument is available in a global options market for actuarial and financial risks. The third option strategy is based on a risky mean self-financing dividend strategy. The last option strategy reproduces the financial gain by buying the dividend process in a global options market. Examples from financial markets illustrate some results.
strategic financial management, asset and lialibities, profit and loss, risk management, actuarial protection model, mean self-finance, option strategy.
