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On the Optimal design of insurance contracts with guarantees

 
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<dc:creator>Branger, N.</dc:creator>
<dc:creator>Mahayni, A.</dc:creator>
<dc:creator>Scheneider, J.C.</dc:creator>
<dc:date>2010-06-01</dc:date>
<dc:description xml:lang="es">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</dc:description>
<dc:identifier>https://documentacion.fundacionmapfre.org/documentacion/publico/es/bib/122993.do</dc:identifier>
<dc:language>spa</dc:language>
<dc:rights xml:lang="es">InC - http://rightsstatements.org/vocab/InC/1.0/</dc:rights>
<dc:subject xml:lang="es">Matemática del seguro</dc:subject>
<dc:subject xml:lang="es">Contrato de seguro</dc:subject>
<dc:subject xml:lang="es">Diseño de productos</dc:subject>
<dc:subject xml:lang="es">Garantías contractuales</dc:subject>
<dc:type xml:lang="es">Artículos y capítulos</dc:type>
<dc:title xml:lang="es">On the Optimal design of insurance contracts with guarantees</dc:title>
<dc:relation xml:lang="es">En: Insurance : mathematics and economics. - Oxford : Elsevier, 1990- = ISSN 0167-6687. - Tomo 46 Número 3  - June 2010, p. 485-492</dc:relation>
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