Dynamic hybrid products with guarantees -- an optimal portfolio framework
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Publication:1757610
DOI10.1016/j.insmatheco.2018.11.005zbMath1419.91369OpenAlexW2903446156WikidataQ128891895 ScholiaQ128891895MaRDI QIDQ1757610
Publication date: 15 January 2019
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2018.11.005
continuous-time portfolio optimizationdiscrete vs. continuous realizationDTH-productsdynamic hybrid products
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Decrease of capital guarantees in life insurance products: can reinsurance stop it? ⋮ A new approach for satisfactory pensions with no guarantees ⋮ A collective investment problem in a stochastic volatility environment: the impact of sharing rules ⋮ Mixed participating and unit-linked life insurance contracts: design, pricing and optimal strategy
Cites Work
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- Optimal investment strategies in the presence of a minimum guarantee.
- Effectiveness of CPPI strategies under discrete-time trading
- Modern financial mathematics -- theory and practical applications. Vol. 1: Option evaluation and portfolio optimization
- Dynamic hybrid products in life insurance: assessing the policyholders' viewpoint
- Optimal portfolios with a positive lower bound on final wealth
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