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Document type:
Zeitschriftenaufsatz 
Author(s):
Bienek, T.; Scherer, M. 
Title:
Hedging and Valuation of Contingent Guarantees 
Abstract:
We study the problem of hedging and pricing modern guarantee concepts in unit-linked life insurance policies, where the guaranteed amount grows contingent on the performance of the underlying investment fund. In contrast to standard hedging and valuation problems, the fund serves as both the underlying security and the replicating portfolio, rendering existing approaches from mathematical finance inadequate. Using the classical portfolio insurance framework, we transform the problem of hedging c...    »
 
Keywords:
Portfolio insurance, Unit-linked life insurance, Fixed-point problem, Lock-in 
Journal title:
Working Paper 
Year:
2018 
TUM Institution:
Lehrstuhl für Finanzmathematik