Artikel
Minimum return rate guarantees under default risk: optimal design of quantile guarantees
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.
- Sprache
-
Englisch
- Erschienen in
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Journal: Review of Managerial Science ; ISSN: 1863-6691 ; Volume: 15 ; Year: 2020 ; Issue: 7 ; Pages: 1821-1848 ; Berlin, Heidelberg: Springer
- Klassifikation
-
Management
- Thema
-
Guarantee scheme
Derivatives
Life insurance
Return rate guarantees
Default risk
Regulatory requirements
Utility to the insured
G 31
G 22
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Mahayni, Antje
Lubos, Oliver
Offermann, Sascha
- Ereignis
-
Veröffentlichung
- (wer)
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Springer
- (wo)
-
Berlin, Heidelberg
- (wann)
-
2020
- DOI
-
doi:10.1007/s11846-020-00410-3
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Mahayni, Antje
- Lubos, Oliver
- Offermann, Sascha
- Springer
Entstanden
- 2020
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