Qian, Linyi; Wang, Wei; Wang, Rongming Risk-minimizing portfolio selection for insurance payment processes under a Markov-modulated model. (English) Zbl 1281.90091 J. Ind. Manag. Optim. 9, No. 2, 411-429 (2013). Summary: This paper extends the model of M. Riesner [Insur. Math. Econ. 38, No. 3, 599–608 (2006; Zbl 1168.91419)] to a Markov modulated Lévy process. The parameters of the Lévy process switch over time according to the different states of an economy, which is described by a finite-state continuous time Markov chain. Employing the local risk minimization method, we find an optimal hedging strategy for a general payment process. Finally, we give an example for single unit-linked insurance contracts with guarantee to display the specific locally risk-minimizing hedging strategy. MSC: 90C90 Applications of mathematical programming 91B30 Risk theory, insurance (MSC2010) 60J60 Diffusion processes 60G51 Processes with independent increments; Lévy processes Keywords:unit-linked life insurance; Lévy process; regime switching; locally risk-minimizing strategy Citations:Zbl 1168.91419 PDFBibTeX XMLCite \textit{L. Qian} et al., J. Ind. Manag. Optim. 9, No. 2, 411--429 (2013; Zbl 1281.90091) Full Text: DOI