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Design and hedging of unit linked life insurance with environmental factors
Katia Colaneri, Alessandra Cretarola, Edoardo Lombardo, Daniele Mancinelli
https://arxiv.org/abs/2509.05676

Design and hedging of unit linked life insurance with environmental factors
We study the problem of designing and hedging unit-linked life policies whose benefits depend on an investment fund that incorporates environmental criteria in its selection process. Offering these products poses two key challenges: constructing a green investment fund and developing a hedging strategy for policies written on that fund. We address these two problems separately. First, we design a portfolio selection rule driven by firms' carbon intensity that endogenously selects assets and avo…