Hedging strategy for unit-linked life insurance contracts in stochastic volatility models

A general class of stochastic volatility model is considered for modeling risky asset. This class of stochastic volatility model contains most of those without jump component which are commonly used in research. We obtain the minimal martingale measure and locally risk minimizing hedging strategy in these models, and employ the results to the unit-linked life insurance contracts. Moreover, we also investigate the locally risk minimizing hedging strategy for unit-linked life insurance contracts in a Barndorff-Nielsen and Shephard stochastic volatility model.