On the optimal design of insurance contracts with guarantees
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Publication:659256
DOI10.1016/J.INSMATHECO.2010.01.006zbMATH Open1231.91147OpenAlexW3123579197MaRDI QIDQ659256FDOQ659256
Authors: Nicole Branger, Antje Mahayni, Judith C. Schneider 
Publication date: 10 February 2012
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2010.01.006
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Cites Work
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Cited In (22)
- Optimal asset allocation for participating contracts with mortality risk under minimum guarantee
- Nonconcave Optimal Investment with Value-at-Risk Constraint: An Application to Life Insurance Contracts
- Portfolio insurance under rough volatility and Volterra processes
- The existence of optimal bang-bang controls for GMxB contracts
- An analysis of transaction costs in participating life insurance under mean-variance preferences
- Optimal investment and financing with credit guarantee
- Optimal Insurance Coverage under Bonus-Malus Contracts
- The benefit of life insurance contracts with capped index participation when stock prices are subject to jump risk
- Constrained non-concave utility maximization: an application to life insurance contracts with guarantees
- Optimal investment strategies for participating contracts
- Constant proportion portfolio insurance strategies in contagious markets
- Optimal insurance design with a bonus
- Minimum return guarantees, investment caps, and investment flexibility
- On the interaction between transfer restrictions and crediting strategies in guaranteed funds
- Equity-linked pension schemes with guarantees
- Guaranteed Investment Contracts: Distributed and Undistributed Excess Return
- Mixed participating and unit-linked life insurance contracts: design, pricing and optimal strategy
- What to offer if consumers do not want what they need? A simultaneous evaluation approach with an application to retirement savings products
- A MODEL FOR THE OPTIMAL ASSET-LIABILITY MANAGEMENT FOR INSURANCE COMPANIES
- Design of insurance contracts using stochastic programming in forestry planning
- A joint valuation of premium payment and surrender options in participating life insurance contracts
- Optimal mix among PAYGO, EET and individual savings
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