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Titel:

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

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Chen, A.; Hieber, P.; Nguyen, T.
Nicht-TUM Koautoren:
ja
Kooperation:
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
Zeitschriftentitel:
European Journal of Operational Research
Journal gelistet in FT50 Ranking:
nein
Jahr:
2019
Band / Volume:
Vol. 273
Heft / Issue:
No. 3
Seitenangaben Beitrag:
1119-1135
Volltext / DOI:
doi:10.1016/j.ejor.2018.09.002
WWW:
http://mediatum.ub.tum.de/node?id=1455442
Urteilsbesprechung:
0
Key publication:
Nein
Peer reviewed:
Ja
commissioned:
not commissioned
Technology:
Nein
Interdisziplinarität:
Nein
Leitbild:
;
Ethics und Sustainability:
Nein
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