Benutzer: Gast  Login
Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Bienek, T.; Scherer, M. 
Titel:
Portfolio Insurance with Lock-In 
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. By suitably extending the classical portfolio...    »
 
Stichworte:
Portfolio insurance, Unit-linked life insurance, Fixed-point problem, Lock-in 
Zeitschriftentitel:
Working Paper 
Jahr:
2018 
TUM Einrichtung:
Lehrstuhl für Finanzmathematik