AN OPTIMAL TRADING STRATEGY FOR PARTICIPATING POLICIES(Special Issue on Theory, Methodology and Applications in Financial Engneering)

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  • 配当のある年金保険商品に対応する保険会社の最適ポートフォリオ戦略
  • ハイトウ ノ アル ネンキン ホケン ショウヒン ニ タイオウ スル ホケン ガイシャ ノ サイテキ ポートフォリオ センリャク

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I consider a participating policy as a contingent claim whose payoff is similar to a call option. The underlying asset of the claim is an asset portfolio continuously controlled by an insurance company. I derive an efficient frontier of the equity return of the company, as well as the trading strategy to realize efficient portfolios, by utilizing the martingale method for optimal portfolio selection problems. Some numerical examples indicate that the higher expected rate of return of the company is required, the more investment in risky assets is needed, and that probability of bonus payment is positive.

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