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- W2021204578 abstract "This paper aims at studying the asset allocation problem of a non-life insurance company when inflation risk and interest rate risk are taken into account. To this purpose, we apply the risk-minimization theory developed by Föllmer & Sondermann (1986 Föllmer, H. and Sondermann, D. 1986. “Hedging of non-redundant contingent claims”. In Contributions to mathematical economics, Edited by: Hildenbrand, W. and Mas Colell, A. 205–223. Amsterdam, North-Holland. [Google Scholar]) and extended by Møller (2001 Møller, T. 2001. Risk minimizing hedging strategies for insurance payment processes. Finance and Stochastics, 5(4): 419–446. [Crossref] , [Google Scholar]). We derive the general form of the risk-minimizing strategies when the cumulative payments of the insurer are described, as suggested by Arjas (1989 Arjas, E. 1989. The claims reserving problem in non-life insurance: some structural ideas. Astin Bulletin, 19(2): 139–152. [Crossref] , [Google Scholar]), by a process adapted to the natural filtration of a marked point process and when the inflation and the term structure of interest rates are simultaneously described by the HJM model of Jarrow & Yildirim (2003 Jarrow, R. and Yildirim, Y. 2003. Pricing treasury inflation protected securities and related derivatives using and HJM model. Journal of financial and quantitative analysis, 38(2): 409–430. [Crossref], [Web of Science ®] , [Google Scholar]). We then apply our general results in two collective models and two individual models of non-life insurance payments." @default.
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- W2021204578 date "2009-06-01" @default.
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- W2021204578 title "Risk minimization with inflation and interest rate risk: applications to non-life insurance" @default.
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- W2021204578 doi "https://doi.org/10.1080/03461230802281047" @default.
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