| Title: |
Return guarantees with delayed payment. Forthcoming: German Economic Review |
| Authors: |
Antje Mahayni; Klaus Sandmann; Jel–codes G |
| Contributors: |
The Pennsylvania State University CiteSeerX Archives |
| Source: |
http://www.fbv.kit.edu/symposium/10th/papers/Mahayni_Sandmann - Return Guarantees with Delayed Payment.pdf. |
| Publication Year: |
2005 |
| Collection: |
CiteSeerX |
| Subject Terms: |
Insurance Branch Codes; IB13; IB81 |
| Description: |
A unit–linked insurance contract can be formulated in terms of a guar-anteed amount together with a fraction of a positive excess return of a benchmark portfolio. Normally, the excess return is determined annually and accumulated until the maturity of the contract. The accumulation factor which is granted with respect to the delayed payments can either be deterministic or equal to the (stochastic) bank account. It turns out that the common choice of a deterministic accumulation factor gives rise to problems concerning the pricing and the risk management of the insurance contract. |
| Document Type: |
text |
| File Description: |
application/pdf |
| Language: |
English |
| Relation: |
http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.541.9835 |
| Availability: |
http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.541.9835; http://www.fbv.kit.edu/symposium/10th/papers/Mahayni_Sandmann - Return Guarantees with Delayed Payment.pdf |
| Rights: |
Metadata may be used without restrictions as long as the oai identifier remains attached to it. |
| Accession Number: |
edsbas.F0EBA84A |
| Database: |
BASE |