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Titel:

Hedging and Valuation of Contingent Guarantees

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Bienek, T.; Scherer, M.
Nicht-TUM Koautoren:
nein
Kooperation:
-
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...     »
Stichworte:
Portfolio insurance, Unit-linked life insurance, Fixed-point problem, Lock-in
Intellectual Contribution:
Discipline-based Research
Zeitschriftentitel:
Working Paper
Journal gelistet in FT50 Ranking:
nein
Jahr:
2018
Volltext / DOI:
doi:No DOI available
Urteilsbesprechung:
0
Key publication:
Nein
Peer reviewed:
Nein
commissioned:
not commissioned
Technology:
Nein
Interdisziplinarität:
Nein
Leitbild:
;
Ethics und Sustainability:
Nein
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