Tax- and expense-modified risk-minimization for insurance payment processes

Research output: Contribution to journal › Journal article › Research › peer-review

Standard

Tax- and expense-modified risk-minimization for insurance payment processes. / Buchardt, Kristian; Furrer, Christian; Møller, Thomas.

In: Scandinavian Actuarial Journal, Vol. 2020, No. 10, 2020, p. 934–961.

Research output: Contribution to journal › Journal article › Research › peer-review

Harvard

Buchardt, K, Furrer, C & Møller, T 2020, 'Tax- and expense-modified risk-minimization for insurance payment processes', Scandinavian Actuarial Journal, vol. 2020, no. 10, pp. 934–961. https://doi.org/10.1080/03461238.2020.1790413

APA

Buchardt, K., Furrer, C., & Møller, T. (2020). Tax- and expense-modified risk-minimization for insurance payment processes. Scandinavian Actuarial Journal, 2020(10), 934–961. https://doi.org/10.1080/03461238.2020.1790413

Vancouver

Buchardt K, Furrer C, Møller T. Tax- and expense-modified risk-minimization for insurance payment processes. Scandinavian Actuarial Journal. 2020;2020(10):934–961. https://doi.org/10.1080/03461238.2020.1790413

Author

Buchardt, Kristian ; Furrer, Christian ; Møller, Thomas. / Tax- and expense-modified risk-minimization for insurance payment processes. In: Scandinavian Actuarial Journal. 2020 ; Vol. 2020, No. 10. pp. 934–961.

Bibtex

@article{cbce66b0476148408d4d5e815bc2969e,
title = "Tax- and expense-modified risk-minimization for insurance payment processes",
abstract = "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.",
author = "Kristian Buchardt and Christian Furrer and Thomas M{\o}ller",
year = "2020",
doi = "10.1080/03461238.2020.1790413",
language = "English",
volume = "2020",
pages = "934–961",
journal = "Scandinavian Actuarial Journal",
issn = "0346-1238",
publisher = "Taylor & Francis Scandinavia",
number = "10",

}

RIS

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