Record Details

Portfolio Insurance Contracts Linked to Hedge Funds

Journal of Insurance and Financial Management

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Field Value
 
Title Portfolio Insurance Contracts Linked to Hedge Funds
 
Creator Ezzili, Chekib
 
Description We stress the importance of modeling the evolutionof hedge funds NAV following a jump-diffusionprocess in order to properly assess a contract ofportfolio insurance managed following the cushionmethod (CPPI). This choice is explained partly bythe statistical properties of hedge fund returns, andalso by the impact on the price of such contractsthrough the increase in the price of the Gap optionembedded in the contract. We show through the useof non-parametric statistical methods (BarndorffNielsenand Shephard (2004), and Bollerslev et al.(2008)) that returns of hedge funds have a level ofjump activity similar to that present in the equityindices. Then we show the existence of a commonfactor between hedge funds and equity indicescorresponding to a systemic jump. Finally, wepresent numerical results in order to understand theimpact of the various parameters of the jumpdiffusionprocess on the CPPI valuation.
 
Publisher Journal of Insurance and Financial Management
 
Contributor —
 
Date 2016-10-20
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Peer-reviewed Article
 
Format application/pdf
 
Identifier https://journal-of-insurance-and-financial-management.com/index.php/JIFM/article/view/64
 
Source Journal of Insurance and Financial Management; Vol 2, No 3 (2016): Journal of Insurance and Financial Management
2371-2112
 
Language eng
 
Relation https://journal-of-insurance-and-financial-management.com/index.php/JIFM/article/view/64/pdf
 
Rights Copyright (c) 2016 Chekib EZZILI
http://creativecommons.org/licenses/by/4.0