An efficient frontier for participating policies in a continuous-time economy

DOI10.1016/J.INSMATHECO.2004.08.005MaRDI QIDQ2485532zbMATH OpenOpenAlexFDO

Authors Shoji Yumae, Hideki Iwaki

Publication date 5 August 2005

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.insmatheco.2004.08.005

zbMATH Keywords

Continuous-time modelMartingale methodOptimal portfolioParticipating policiesTrading and payment strategy

Mathematics Subject Classification ID

Recommendations

• Efficiency of competitive equilibria in economies with time-dependent preferences
• Policies over time and Pareto optimality
• Continuous implementation in economies with incomplete information
• Continuous implementation of constrained rational expectations equilibria
• Pareto optimality in continuous-time OLG economies
• Efficiency in a search and matching model with participation policy
• Time consistent Markov policies in dynamic economies with quasi-hyperbolic consumers
• Two sided efficient frontiers at multiple time horizons
• Implementation in Economies with a Continuum of Agents
• scientific article; zbMATH DE number 4076918

Cites work

• scientific article; zbMATH DE number 1095739 (Why is no real title available?)
• An economic premium principle in a multiperiod economy.
• Equity-linked life insurance: A model with stochastic interest rates
• Fair Pricing of Life Insurance Participating Policies with a Minimum Interest Rate Guaranteed
• Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies
• Guaranteed Investment Contracts: Distributed and Undistributed Excess Return
• Pricing of Unit-linked Life Insurance Policies
• The pricing of options and corporate liabilities

Cited in

(1)

• AN OPTIMAL TRADING STRATEGY FOR PARTICIPATING POLICIES(Special Issue on Theory, Methodology and Applications in Financial Engneering)

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