{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2025,12,16]],"date-time":"2025-12-16T12:47:33Z","timestamp":1765889253045,"version":"build-2065373602"},"reference-count":31,"publisher":"MDPI AG","issue":"2","license":[{"start":{"date-parts":[[2024,1,31]],"date-time":"2024-01-31T00:00:00Z","timestamp":1706659200000},"content-version":"vor","delay-in-days":0,"URL":"https:\/\/creativecommons.org\/licenses\/by\/4.0\/"}],"funder":[{"name":"Deanship of Scientific Research, King Saud University"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Symmetry"],"abstract":"<jats:p>The paper examines the valuation and hedging of life insurance obligations in the presence of mortality risk using the local risk-minimizing hedging approach. Roughly speaking, it is assumed that the lifetime of policyholders in an insurance portfolio is modeled by a point process whose stochastic intensity is controlled by a diffusion process. The stock price process is assumed to be a regime-switching L\u00e9vy process with non-zero regime-switching drift, where the parameters are assumed to depend on the economic states. Using the F\u00f6llmer\u2013Schweizer decomposition, the main valuation and hedging results for a conditional payment process are determined. Some specific situations have been considered in which the local risk-minimizing strategies for a stream of liability payments or a unit-linked contract are presented.<\/jats:p>","DOI":"10.3390\/sym16020165","type":"journal-article","created":{"date-parts":[[2024,1,31]],"date-time":"2024-01-31T08:44:06Z","timestamp":1706690646000},"page":"165","update-policy":"https:\/\/doi.org\/10.3390\/mdpi_crossmark_policy","source":"Crossref","is-referenced-by-count":1,"title":["Actuarial Valuation and Hedging of Life Insurance Liabilities in the Presence of Stochastic Mortality Risk under the Locally Risk-Minimizing Hedging Approach"],"prefix":"10.3390","volume":"16","author":[{"given":"Mohamed","family":"El Farissi","sequence":"first","affiliation":[{"name":"Actuarial Department, CEDRUS, Soci\u00e9t\u00e9 G\u00e9n\u00e9rale Assurance, Casablanca 20360, Morocco"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"ORCID":"https:\/\/orcid.org\/0000-0003-0889-3387","authenticated-orcid":false,"given":"Mhamed","family":"Eddahbi","sequence":"additional","affiliation":[{"name":"Financial and Actuarial Studies Research Chair, Department of Mathematics, College of Science, King Saud University, P.O. Box 2455, Riyadh 11451, Saudi Arabia"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Ali","family":"Goumar","sequence":"additional","affiliation":[{"name":"ASIGMA, D\u00e9partement des Risques et Mod\u00e9lisations, IARD, 8 rue Euler, 75008 Paris, France"}],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"1968","published-online":{"date-parts":[[2024,1,31]]},"reference":[{"key":"ref_1","doi-asserted-by":"crossref","first-page":"278","DOI":"10.1016\/j.insmatheco.2010.07.003","article-title":"An optimal investment strategy for a stream of liabilities generated by a step process in a financial market driven by a L\u00e9vy process","volume":"47","author":"Delong","year":"2010","journal-title":"Insur. Math. 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