On the optimal design of insurance contracts with guarantees

Research output: Journal contributionsJournal articlesResearchpeer-review

Standard

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

Harvard

APA

Vancouver

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 -

Recently viewed

Publications

  1. Estimation of the cancer risk to humans resulting from the presence of cyclophosphamide and ifosfamide in surface water
  2. Advancing research on ecosystem service bundles for comparative assessments and synthesis
  3. How to improve efficiency in budgeting
  4. The influence of native versus exotic streetscape vegetation on the spatial distribution of birds in suburbs and reserves
  5. How Does Citizen Science Compare to Online Survey Panels? A Comparison of Food Knowledge and Perceptions Between the Zooniverse, Prolific and Qualtrics UK Panels
  6. A Theory-Based Concept for Fostering Sustainability Competencies in Engineering Programs
  7. How work values relate to the intention to work after retirement
  8. Microtomography on biomaterials using the harwi-2 beamline at desy
  9. BP’s Solar Business Model - A Case Study on BP’s Solar Business Case and its Drivers
  10. Local Responses to Global Integration in a Transnational Professional Service Firm
  11. Microstructural approaches of engineering materials
  12. How Organizing Matters for Societal Grand Challenges
  13. Three source-partitioning of CO2 fluxes based on a dual-isotope approach to investigate interactions between soil organic carbon, glucose and straw
  14. Daniel Fiott (ed.), The csdp in 2020: The EU’s legacy and ambition in security and defence
  15. Being perceived as a knowledge sender or knowledge receiver
  16. Formative assessment in every-day teaching of mathematical modelling
  17. Belief in Free Will Is Related to Internal Attribution in Self-Perception
  18. From Blue Collar to Open Commons Region
  19. Lufthansa Cargo´s alliance strategy: Spinning a web of stable relations
  20. Transformations of pesticides in the atmosphere
  21. Simulation wilder Spekulationen. Oder: Wie einmal Paul Baran mit einem falschen Modell das Internet erfand
  22. Different sizes, similar challenges
  23. Democratization as an emancipative process
  24. Commodity Studies with Polanyi
  25. Porträt ohne Modell
  26. The Impact of Power Distance Orientation on Recipients' Reactions to Participatory Versus Programmatic Change Communication
  27. Unintended Consequences of Field Experiments in Poverty Settings
  28. Written Reasoning in Primary School
  29. Portal als Experimentalsystem
  30. Performing university space
  31. Bildanalysen
  32. Socio-technical change linking expectations and representations
  33. Discovering cooperation

Press / Media

  1. Ein Fädchen Hoffnung