Optimal Investing Strategies for Participating Contracts
| dc.contributor.author | Lin, Hongcan | |
| dc.contributor.author | Saunders, David | |
| dc.contributor.author | Weng, Chengguo | |
| dc.date.accessioned | 2023-11-06T21:07:38Z | |
| dc.date.available | 2023-11-06T21:07:38Z | |
| dc.date.issued | 2017-03 | |
| dc.description | The final publication is available at Elsevier via https://doi.org/10.1016/j.insmatheco.2017.02.001. © 2017. This manuscript version is made available under the CC-BY-NC-ND 4.0 license http://creativecommons.org/licenses/by-nc-nd/4.0/ | en |
| dc.description.abstract | Participating contracts are popular insurance policies, in which the payoff to a policyholder is linked to the performance of a portfolio managed by the insurer. We consider the portfolio selection problem of an insurer that offers participating contracts and has an S-shaped utility function. Applying the martingale approach, closed-form solutions are obtained. The resulting optimal strategies are compared with portfolio insurance hedging strategies (CPPI and OBPI). We also study numerical solutions of the portfolio selection problem with constraints on the portfolio weights. | en |
| dc.identifier.uri | https://doi.org/10.1016/j.insmatheco.2017.02.001 | |
| dc.identifier.uri | http://hdl.handle.net/10012/20087 | |
| dc.language.iso | en | en |
| dc.publisher | Elsevier | en |
| dc.relation.ispartofseries | Insurance: Mathematics and Economics;73 | |
| dc.subject | participating contract | en |
| dc.subject | utility maximization | en |
| dc.subject | martingale and dual approach | en |
| dc.subject | concavification technique | en |
| dc.subject | stochastic control | en |
| dc.title | Optimal Investing Strategies for Participating Contracts | en |
| dc.type | Article | en |
| dcterms.bibliographicCitation | Lin, H., Saunders, D., & Weng, C. (2017). Optimal Investment Strategies for participating contracts. Insurance: Mathematics and Economics, 73, 137–155. https://doi.org/10.1016/j.insmatheco.2017.02.001 | en |
| uws.contributor.affiliation1 | Faculty of Mathematics | en |
| uws.contributor.affiliation2 | Statistics and Actuarial Science | en |
| uws.peerReviewStatus | Reviewed | en |
| uws.scholarLevel | Faculty | en |
| uws.typeOfResource | Text | en |
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