On the Optimal design of insurance contracts with guarantees

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<title>Optimal design of insurance contracts with guarantees</title>
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<namePart>Mahayni, A.</namePart>
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<namePart>Scheneider, J.C.</namePart>
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<abstract displayLabel="Summary">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</abstract>
<note type="statement of responsibility">N. Branger, A. Mahayni, J. C. Scheneider</note>
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<topic>Matemática del seguro</topic>
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<topic>Contrato de seguro</topic>
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<subject authority="lcshac" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080590413">
<topic>Diseño de productos</topic>
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<subject authority="lcshac" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080610913">
<topic>Garantías contractuales</topic>
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<title>Insurance : mathematics and economics</title>
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<publisher>Oxford : Elsevier, 1990-</publisher>
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<identifier type="issn">0167-6687</identifier>
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<part>
<text>Tomo 46 Número 3  - June 2010, p. 485-492</text>
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