<p style='text-indent:20px;'>This paper analyzes Conditional Value-at-Risk (CVaR) based partial hedging and its applications on equity-linked life insurance contracts in a Jump-Diffusion market model with transaction costs. A nonlinear partial differential equation (PDE) that an option value process inclusive of transaction costs should satisfy is provided. In particular, the closed-form expression of a European call option price is given. Meanwhile, the CVaR-based partial hedging strategy for a call option is derived explicitly. Both the CVaR hedging price and the weights of the hedging portfolio are based on an adjusted volatility. We obtain estimated values of expected total hedging errors and total transaction costs by a simulation method. Furthermore,our results are implemented to derive target clients’ survival probabilities and age of equity-linked life insurance contracts.</p>

中文翻译：

---

CVaR 套期保值及其在具有交易成本的股票挂钩人寿保险合同中的应用

<p style='text-indent:20px;'>本文分析了基于条件风险价值（CVaR）的部分对冲及其在具有交易成本的Jump-Diffusion市场模型中的股票挂钩人寿保险合约的应用。提出了包含交易成本的期权价值过程应满足的非线性偏微分方程(PDE)。特别地，给出了欧式看涨期权价格的封闭式表达式。同时，显式推导了基于 CVaR 的看涨期权部分对冲策略。CVaR 对冲价格和对冲投资组合的权重均基于调整后的波动率。我们通过模拟方法获得预期总套期误差和总交易成本的估计值。此外，