Second-Best Insurance Contract Design in an Incomplete Market

1995 ◽  
Vol 97 (1) ◽  
pp. 123 ◽  
Author(s):  
Christian Gollier ◽  
Harris Schlesinger
Keyword(s):  
Contract Design ◽  
Incomplete Market ◽  
Insurance Contract ◽  
Second Best

scholarly journals Incorporating model uncertainty into optimal insurance contract design

2017 ◽  
Vol 73 ◽  
pp. 68-74 ◽  
Author(s):  
Georg Ch. Pflug ◽  
Anna Timonina-Farkas ◽  
Stefan Hochrainer-Stigler
Keyword(s):  
Model Uncertainty ◽  
Contract Design ◽  
Insurance Contract ◽  
Optimal Insurance

Tailored to the extremes: Quantile regression for index-based insurance contract design

2015 ◽  
Vol 46 (4) ◽  
pp. 537-547 ◽  
Author(s):  
Sarah Conradt ◽  
Robert Finger ◽  
Raushan Bokusheva
Keyword(s):  
Quantile Regression ◽  
Contract Design ◽  
Insurance Contract

scholarly journals Optimal Hedging and Pricing of Equity-Linked Life Insurance Contracts in a Discrete-Time Incomplete Market

2011 ◽  
Vol 2011 ◽  
pp. 1-23
Author(s):  
Norman Josephy ◽  
Lucia Kimball ◽  
Victoria Steblovskaya
Keyword(s):  
Financial Market ◽  
Discrete Time ◽  
Life Insurance ◽  
Incomplete Market ◽  
Insurance Contract ◽  
Fair Price ◽  
Hedging Strategy ◽  
Insurance Contracts ◽  
Risk Return ◽  
Optimal Hedging

We present a method of optimal hedging and pricing of equity-linked life insurance products in an incomplete discrete-time financial market. A pure endowment life insurance contract with guarantee is used as an example. The financial market incompleteness is caused by the assumption that the underlying risky asset price ratios are distributed in a compact interval, generalizing the assumptions of multinomial incomplete market models. For a range of initial hedging capitals for the embedded financial option, we numerically solve an optimal hedging problem and determine a risk-return profile of each optimal non-self-financing hedging strategy. The fair price of the insurance contract is determined according to the insurer's risk-return preferences. Illustrative numerical results of testing our algorithm on hypothetical insurance contracts are documented. A discussion and a test of a hedging strategy recalibration technique for long-term contracts are presented.

Sign in / Sign up

Export Citation Format

Share Document