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

Notes: 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 schemeRelated records: En: Insurance : mathematics and economics. - Oxford : Elsevier, 1990- = ISSN 0167-6687. - Tomo 46 Número 3 - June 2010, p. 485-492Materia / lugar / evento: Matemática del seguro Contrato de seguro Diseño de productos Garantías contractuales Otros autores: Mahayni, A.
Scheneider, J.C.
Other categories: 6

Rights: In Copyright (InC)

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