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1200. Insurer's management discretion: Self-hedging participating life insurance
Invited abstract in session TB-57: Risk management and valuation of financial contracts, stream Modern Decision Making in Finance and Insurance.
Tuesday, 10:30-12:00Room: S06 (building: 101)
Authors (first author is the speaker)
| 1. | Peter Hieber
|
Abstract
The majority of articles on participating life insurance contracts with guarantees assumes a deterministic and exogeneously given investment strategy for the insurer's assets, for example a geometric Brownian motion. However, the insurer may strategically adjust the risk of its asset investments depending on liability values. We look at the optimal design of such investment strategies with the aim to reduce insurer's risks. In the extreme case, the insurer may hedge its liabilities ("self-heding").
This is joint work with Karim Barigou (Université Laval, Canada).
Keywords
- Financial Modelling
- Continuous Optimization
- Optimal Control
Status: accepted
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