Optimal asset allocation for participating contracts under the VaR and PI constraint
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DOI: 10.1080/03461238.2019.1636859
Abstract: ABSTRACT Participating contracts provide a maturity guarantee for the policyholder. However, the terminal payoff to the policyholder should be related to financial risks of participating insurance contracts. We investigate an optimal investment problem under a… read more here.
Keywords: asset allocation; optimal asset; participating contracts; constraint ... See more keywords