Minimum return guarantees, investment caps, and investment flexibility

DOI10.1007/s11147-015-9116-5zbMath1345.91013OpenAlexW3122972533MaRDI QIDQ315106

Judith C. Schneider, Antje Mahayni

Publication date: 19 September 2016

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11147-015-9116-5

zbMATH Keywords

investment capsinvestment flexibilityminimum return guaranteesPareto efficient contract design

Mathematics Subject Classification ID

Related Items (4)

The benefit of life insurance contracts with capped index participation when stock prices are subject to jump risk ⋮ Constrained non-concave utility maximization: an application to life insurance contracts with guarantees ⋮ Nonconcave Optimal Investment with Value-at-Risk Constraint: An Application to Life Insurance Contracts ⋮ Mixed participating and unit-linked life insurance contracts: design, pricing and optimal strategy

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