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Dynamic hybrid products with guarantees

An optimal portfolio framework
 
: Hambardzumyan, H.; Korn, R.

:

Insurance. Mathematics & economics 84 (2019), S.54-66
ISSN: 0167-6687
Englisch
Zeitschriftenaufsatz
Fraunhofer ITWM ()

Abstract
Dynamic hybrid products are pension products that consist of a dynamic combination of classical with profits participating life insurance contracts (or a bank account) and fund savings plans. To put such products in an optimal utility framework, we derive an optimal combination of a money market account, a CPPI-style fund and a free fund in continuous trading via transforming the original investment problem into a conventional portfolio problem in the presence of a guarantee condition. By this, we obtain (semi-) explicit forms of the dynamic weights for the different ingredients of a dynamic hybrid product.

: http://publica.fraunhofer.de/dokumente/N-549519.html