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Title:

Hedging and Valuation of Contingent Guarantees

Document type:
Zeitschriftenaufsatz
Author(s):
Bienek, T.; Scherer, M.
Non-TUM Co-author(s):
nein
Cooperation:
-
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
Fulltext / DOI:
doi:No DOI available
Judgement review:
0
Key publication:
Nein
Peer reviewed:
Nein
Commissioned:
not commissioned
Technology:
Nein
Interdisciplinarity:
Nein
Mission statement:
;
Ethics and Sustainability:
Nein
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