Optimal asset allocation for participating contracts with mortality risk under minimum guarantee

被引：7

作者：

Wu, Sang ^{[1
]}

Dong, Yinghui ^{[1
,2
]}

Lv, Wenxin ^{[1
]}

Wang, Guojing ^{[3
,4
]}

机构：

[1] Suzhou Univ Sci & Technol, Dept Math & Phys, Suzhou, Peoples R China

[2] Imperial Coll, Dept Math, London, England

[3] Soochow Univ, Dept Math, Suzhou, Peoples R China

[4] Soochow Univ, Ctr Financial Engn, Suzhou, Peoples R China

来源：

COMMUNICATIONS IN STATISTICS-THEORY AND METHODS | 2020年 / 49卷 / 14期

关键词：

Participating contract; portfolio insurance; Lagrange dual method; concavification; OPTIMAL INVESTMENT STRATEGIES; LIFE-INSURANCE; PROSPECT-THEORY; CONSUMPTION; POLICIES; MODEL;

D O I：

10.1080/03610926.2019.1589518

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We investigate an optimal investment problem of participating insurance contracts with mortality risk under minimum guarantee. The insurer aims to maximize the expected utility of the terminal payoff. Due to its piecewise payoff structure, this optimization problem is a non-concave utility maximization problem. We adopt a concavification technique and a Lagrange dual method to solve the problem and derive the representations of the optimal wealth process and trading strategies. We also carry out some numerical analysis to show how the portfolio insurance constraint impacts the optimal terminal wealth.

引用

页码：3481 / 3497

页数：17