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Title:

Constrained non-concave utility maximization: An application to life insurance contracts with guarantees

Document type:
Zeitschriftenaufsatz
Author(s):
Chen, A.; Hieber, P.; Nguyen, T.
Non-TUM Co-author(s):
ja
Cooperation:
international
Abstract:
We study a problem of non-concave utility maximization under a fair pricing constraint. The framework finds many applications in, for example, the optimal design of managerial compensation or equity-linked life insurance contracts. Deriving closed-form solutions, we observe that the fair pricing constraint will reduce the riskiness of the optimal strategies substantially. In an extensive numerical section, we analyze innovative retirement products that adapt the investment strategy of the premiu...     »
Intellectual Contribution:
Discipline-based Research
Journal title:
European Journal of Operational Research
Journal listet in FT50 ranking:
nein
Year:
2019
Journal volume:
Vol. 273
Journal issue:
No. 3
Pages contribution:
1119-1135
Fulltext / DOI:
doi:10.1016/j.ejor.2018.09.002
WWW:
http://mediatum.ub.tum.de/node?id=1455442
Judgement review:
0
Key publication:
Nein
Peer reviewed:
Ja
Commissioned:
not commissioned
Technology:
Nein
Interdisciplinarity:
Nein
Mission statement:
;
Ethics and Sustainability:
Nein
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