Centro de Documentacion de Fundación MAPFRE - On the Optimal design of insurance contracts with guarantees

MAP20100055489

On the Optimal design of insurance contracts with guarantees / N. Branger, A. Mahayni, J. C. Scheneider

Sumario: 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 gurantee scheme. In case the insured has a subsistence level, the CPPI strategy turns out to be optimal for arbitrary schemes. Authors illustrate the result 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

En: Insurance : mathematics and economics. - Oxford : Elsevier, 1990- = ISSN 0167-6687. - Tomo 46 Número 3 - June 2010, p. 485-492

1. Matemática del seguro . 2. Contrato de seguro . 3. Diseño de productos . 4. Garantías contractuales . I. Mahayni, A. . II. Scheneider, J.C. .