Dynamic hybrid products with guarantees—An optimal portfolio framework

Hayk Hambardzumyan and Ralf Korn

Insurance: Mathematics and Economics, 2019, vol. 84, issue C, 54-66

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.

Keywords: Dynamic hybrid products; Continuous-time portfolio optimization; DTH-products; Discrete vs.; Continuous realization (search for similar items in EconPapers)
JEL-codes: G13 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:84:y:2019:i:c:p:54-66

DOI: 10.1016/j.insmatheco.2018.11.005

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