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Document type:
Zeitschriftenaufsatz 
Author(s):
Bienek, T.; Scherer, M. 
Non-TUM Co-author(s):
nein 
Cooperation:
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 
Intellectual Contribution:
Discipline-based Research 
Journal title:
Working Paper 
Journal listet in FT50 ranking:
nein 
Year:
2018 
Key publication:
Nein 
Peer reviewed:
Nein 
Commissioned:
not commissioned 
Technology:
Nein 
Interdisciplinarity:
Nein 
Mission statement:
Ethics and Sustainability:
Nein