On the optimal design of insurance contracts with guarantees

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On the optimal design of insurance contracts with guarantees. / Branger, Nicole; Mahayni, Antje; Schneider, Judith C.
In: Insurance: Mathematics and Economics, Vol. 46, No. 3, 01.06.2010, p. 485-492.

Research output: Journal contributionsJournal articlesResearchpeer-review

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Branger N, Mahayni A, Schneider JC. On the optimal design of insurance contracts with guarantees. Insurance: Mathematics and Economics. 2010 Jun 1;46(3):485-492. doi: 10.1016/j.insmatheco.2010.01.006

Bibtex

@article{d73c1d73940b4927aea4581df54f89e1,
title = "On the optimal design of insurance contracts with guarantees",
abstract = "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. {\textcopyright} 2010 Elsevier B.V.",
keywords = "CPPI, Guarantee scheme, Interest rate guarantee, Optimal portfolio choice, Utility loss, Management studies",
author = "Nicole Branger and Antje Mahayni and Schneider, {Judith C.}",
year = "2010",
month = jun,
day = "1",
doi = "10.1016/j.insmatheco.2010.01.006",
language = "English",
volume = "46",
pages = "485--492",
journal = "Insurance: Mathematics and Economics",
issn = "0167-6687",
publisher = "Elsevier B.V.",
number = "3",

}

RIS

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 -

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