On the Optimal design of insurance contracts with guarantees

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      <subfield code="a">Branger, N.</subfield>
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      <subfield code="a">On the Optimal design of insurance contracts with guarantees</subfield>
      <subfield code="c">N. Branger, A. Mahayni, J. C. Scheneider</subfield>
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      <subfield code="a">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</subfield>
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      <subfield code="a">Matemática del seguro</subfield>
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      <subfield code="a">Contrato de seguro</subfield>
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      <subfield code="a">Diseño de productos</subfield>
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      <subfield code="a">Garantías contractuales</subfield>
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      <subfield code="a">Mahayni, A.</subfield>
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      <subfield code="a">Scheneider, J.C.</subfield>
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      <subfield code="t">Insurance : mathematics and economics</subfield>
      <subfield code="d">Oxford : Elsevier, 1990-</subfield>
      <subfield code="x">0167-6687</subfield>
      <subfield code="g">Tomo 46 Número 3  - June 2010, p. 485-492</subfield>
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