On the optimal design of insurance contracts with guarantees
Publikation: Beiträge in Zeitschriften › Zeitschriftenaufsätze › Forschung › begutachtet
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in: Insurance: Mathematics and Economics, Jahrgang 46, Nr. 3, 01.06.2010, S. 485-492.
Publikation: Beiträge in Zeitschriften › Zeitschriftenaufsätze › Forschung › begutachtet
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TY - JOUR
T1 - On the optimal design of insurance contracts with guarantees
AU - Branger, Nicole
AU - Mahayni, Antje
AU - Schneider, Judith C.
PY - 2010/6/1
Y1 - 2010/6/1
N2 - The paper analyzes insurance contracts where the benefits of the insured depend on the performance of an investment strategy and which guarantee a certain interest rate on the contributions made by the insured. The insured has to decide simultaneously on the investment strategy and the guarantee scheme. For a CRRA insured and in a BS economy, the optimal combination is given by a constant mix strategy and the contribution guarantee scheme. In case the insured has a subsistence level, the CPPI strategy turns out to be optimal for arbitrary schemes. We illustrate our results by numerical examples and analyze the utility losses of a CRRA insured due to the use of a suboptimal combination of investment strategy and guarantee scheme. © 2010 Elsevier B.V.
AB - The paper analyzes insurance contracts where the benefits of the insured depend on the performance of an investment strategy and which guarantee a certain interest rate on the contributions made by the insured. The insured has to decide simultaneously on the investment strategy and the guarantee scheme. For a CRRA insured and in a BS economy, the optimal combination is given by a constant mix strategy and the contribution guarantee scheme. In case the insured has a subsistence level, the CPPI strategy turns out to be optimal for arbitrary schemes. We illustrate our results by numerical examples and analyze the utility losses of a CRRA insured due to the use of a suboptimal combination of investment strategy and guarantee scheme. © 2010 Elsevier B.V.
KW - CPPI
KW - Guarantee scheme
KW - Interest rate guarantee
KW - Optimal portfolio choice
KW - Utility loss
KW - Management studies
UR - http://www.scopus.com/inward/record.url?scp=77952673304&partnerID=8YFLogxK
UR - https://www.mendeley.com/catalogue/d3f83ffb-b3eb-3ca1-9d3c-31ee11270bee/
U2 - 10.1016/j.insmatheco.2010.01.006
DO - 10.1016/j.insmatheco.2010.01.006
M3 - Journal articles
AN - SCOPUS:77952673304
VL - 46
SP - 485
EP - 492
JO - Insurance: Mathematics and Economics
JF - Insurance: Mathematics and Economics
SN - 0167-6687
IS - 3
ER -