Minimum return rate guarantees under default risk: optimal design of quantile guarantees
نویسندگان
چکیده
منابع مشابه
The Risk Management of Minimum Return Guarantees
Abstract. We analyse contracts which pay out a guaranteed minimum rate of return and a fraction of a positive excess rate, which is specified on the basis of a benchmark portfolio. These contracts are closely related to unit–linked life–insurance/savings plan products and can be considered as alternatives to a direct investment in the underlying benchmark portfolio. The option embedded into the...
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The basis for this paper is the pricing of multi-period rate of return guarantees. These guarantees can typically be found in life insurance and pension contracts. We derive closed form solutions, expressed by the cumulative multivariate normal probability distribution, for multiperiod rate of return guarantees on both a money market account and a stock. The guarantees of Hipp (1996), Persson a...
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A cost-sharing problem is defined by a set of players vying to receive some good or service, and a cost function describing the cost incurred by the auctioneer as a function of the set of winners. A costsharing mechanism is a protocol that decides which players win the auction and at what prices. Three desirable but provably mutually incompatible properties of a cost-sharing mechanism are: ince...
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ژورنال
عنوان ژورنال: Review of Managerial Science
سال: 2020
ISSN: 1863-6683,1863-6691
DOI: 10.1007/s11846-020-00410-3