On the optimal design of insurance contracts with guarantees
From MaRDI portal
Publication:659256
DOI10.1016/j.insmatheco.2010.01.006zbMath1231.91147OpenAlexW3123579197MaRDI QIDQ659256
Antje Mahayni, Judith C. Schneider, Nicole Branger
Publication date: 10 February 2012
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2010.01.006
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (9)
Constrained non-concave utility maximization: an application to life insurance contracts with guarantees ⋮ Minimum return guarantees, investment caps, and investment flexibility ⋮ PORTFOLIO INSURANCE UNDER ROUGH VOLATILITY AND VOLTERRA PROCESSES ⋮ Constant proportion portfolio insurance strategies in contagious markets ⋮ What to offer if consumers do not want what they need? A simultaneous evaluation approach with an application to retirement savings products ⋮ Equity-linked pension schemes with guarantees ⋮ A joint valuation of premium payment and surrender options in participating life insurance contracts ⋮ An analysis of transaction costs in participating life insurance under mean-variance preferences ⋮ Nonconcave Optimal Investment with Value-at-Risk Constraint: An Application to Life Insurance Contracts
Cites Work
- Unnamed Item
- Unnamed Item
- Optimum consumption and portfolio rules in a continuous-time model
- Stochastic dominance of portfolio insurance strategies OBPI versus CPPI
- Equity-linked pension schemes with guarantees
- Pricing equity-linked life insurance with endogenous minimum guarantees
- Optimal portfolio management with American capital guarantee
- Theory of constant proportion portfolio insurance
- Reserving for maturity guarantees: Two approaches
- A comparative study of portfolio insurance.
- Effectiveness of CPPI strategies under discrete-time trading
- The design of equity-indexed annuities
- Stochastic Interest Rates and the Bond-Stock Mix
- CONSTANT PROPORTION PORTFOLIO INSURANCE IN THE PRESENCE OF JUMPS IN ASSET PRICES
- A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities
- Robustness of the Black and Scholes Formula
- Fair Pricing of Life Insurance Participating Policies with a Minimum Interest Rate Guaranteed
- Pricing and hedging derivative securities in markets with uncertain volatilities
- Guaranteed Investment Contracts: Distributed and Undistributed Excess Return
- The relaxed investor and parameter uncertainty
This page was built for publication: On the optimal design of insurance contracts with guarantees
