On the Optimal design of insurance contracts with guarantees
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| LDR | 00000cab a2200000 4500 | ||
| 001 | MAP20100055489 | ||
| 003 | MAP | ||
| 005 | 20101119102121.0 | ||
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| 040 | $aMAP$bspa$dMAP | ||
| 084 | $a6 | ||
| 100 | $0MAPA20090033221$aBranger, N. | ||
| 245 | 0 | 7 | $aOn the Optimal design of insurance contracts with guarantees$cN. Branger, A. Mahayni, J. C. Scheneider |
| 520 | $aThe 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 | ||
| 650 | 1 | $0MAPA20080602437$aMatemática del seguro | |
| 650 | 1 | $0MAPA20080584290$aContrato de seguro | |
| 650 | 1 | $0MAPA20080590413$aDiseño de productos | |
| 650 | 1 | $0MAPA20080610913$aGarantías contractuales | |
| 700 | 1 | $0MAPA20100044070$aMahayni, A. | |
| 700 | 1 | $0MAPA20100044087$aScheneider, J.C. | |
| 773 | 0 | $wMAP20077100574$tInsurance : mathematics and economics$dOxford : Elsevier, 1990-$x0167-6687$gTomo 46 Número 3 - June 2010, p. 485-492 |