Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/288930 
Year of Publication: 
2020
Citation: 
[Journal:] Review of Managerial Science [ISSN:] 1863-6691 [Volume:] 15 [Issue:] 7 [Publisher:] Springer [Place:] Berlin, Heidelberg [Year:] 2020 [Pages:] 1821-1848
Publisher: 
Springer, Berlin, Heidelberg
Abstract: 
The paper analyzes the design of participating life insurance contracts with minimum return rate guarantees. Without default risk, the insured receives the maximum of a guaranteed rate and a participation in the investment returns. With default risk, the payoff is modified by a default put implying a compound option. We represent the yearly returns of the liabilities by a portfolio of plain vanilla options. In a Black and Scholes model, the optimal payoff constrained by a maximal shortfall probability can be stated in closed form. Due to the completeness of the market, it can be implemented for any equity to debt ratio.
Subjects: 
Guarantee scheme
Derivatives
Life insurance
Return rate guarantees
Default risk
Regulatory requirements
Utility to the insured
G 31
G 22
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article
Document Version: 
Published Version

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.