On the optimal design of insurance contracts with guarantees
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Cites work
- A comparative study of portfolio insurance.
- A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities
- CONSTANT PROPORTION PORTFOLIO INSURANCE IN THE PRESENCE OF JUMPS IN ASSET PRICES
- Effectiveness of CPPI strategies under discrete-time trading
- Equity-linked pension schemes with guarantees
- Fair Pricing of Life Insurance Participating Policies with a Minimum Interest Rate Guaranteed
- Guaranteed Investment Contracts: Distributed and Undistributed Excess Return
- scientific article; zbMATH DE number 1795853 (Why is no real title available?)
- Investment guarantees: Modeling and risk management for equity-linked life insurance
- Optimal portfolio management with American capital guarantee
- Optimum consumption and portfolio rules in a continuous-time model
- Pricing and hedging derivative securities in markets with uncertain volatilities
- Pricing equity-linked life insurance with endogenous minimum guarantees
- Reserving for maturity guarantees: Two approaches
- Robustness of the Black and Scholes Formula
- Stochastic dominance of portfolio insurance strategies OBPI versus CPPI
- Stochastic Interest Rates and the Bond-Stock Mix
- The design of equity-indexed annuities
- The relaxed investor and parameter uncertainty
- Theory of constant proportion portfolio insurance
Cited in
(23)- 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 insurance design with a bonus
- Optimal investment strategies for participating contracts
- An analysis of transaction costs in participating life insurance under mean-variance preferences
- Optimal investment and financing with credit guarantee
- Minimum return guarantees, investment caps, and investment flexibility
- Optimal Insurance Coverage under Bonus-Malus Contracts
- Constant proportion portfolio insurance strategies in contagious markets
- Portfolio insurance under rough volatility and Volterra processes
- 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
- The existence of optimal bang-bang controls for GMxB contracts
- On the interaction between transfer restrictions and crediting strategies in guaranteed funds
- Guaranteed Investment Contracts: Distributed and Undistributed Excess Return
- A MODEL FOR THE OPTIMAL ASSET-LIABILITY MANAGEMENT FOR INSURANCE COMPANIES
- 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
- Optimal mix among PAYGO, EET and individual savings
- Equity-linked pension schemes with guarantees
- A joint valuation of premium payment and surrender options in participating life insurance contracts
- Design of insurance contracts using stochastic programming in forestry planning
- Optimal VPPI strategy under omega ratio with stochastic benchmark
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