Mean-Variance Optimization for Participating Life Insurance Contracts
Fuente:
arXiv
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| Autori principali: | , |
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| Natura: | Preprint |
| Pubblicazione: |
2024
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| _version_ | 1866912291744645120 |
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| author | Fießinger, Felix Stadje, Mitja |
| author_facet | Fießinger, Felix Stadje, Mitja |
| contents | This paper studies the equity holders' mean-variance optimal portfolio choice problem for (non-)protected participating life insurance contracts. We derive explicit formulas for the optimal terminal wealth and the optimal strategy in the multi-dimensional Black-Scholes model, showing the existence of all necessary parameters. In incomplete markets, we state Hamilton-Jacobi-Bellman equations for the value function. Moreover, we provide a numerical analysis of the Black-Scholes market. The equity holders on average increase their investment into the risky asset in bad economic states and decrease their investment over time. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2407_11761 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Mean-Variance Optimization for Participating Life Insurance Contracts Fießinger, Felix Stadje, Mitja Mathematical Finance This paper studies the equity holders' mean-variance optimal portfolio choice problem for (non-)protected participating life insurance contracts. We derive explicit formulas for the optimal terminal wealth and the optimal strategy in the multi-dimensional Black-Scholes model, showing the existence of all necessary parameters. In incomplete markets, we state Hamilton-Jacobi-Bellman equations for the value function. Moreover, we provide a numerical analysis of the Black-Scholes market. The equity holders on average increase their investment into the risky asset in bad economic states and decrease their investment over time. |
| title | Mean-Variance Optimization for Participating Life Insurance Contracts |
| topic | Mathematical Finance |
| url | https://arxiv.org/abs/2407.11761 |