IDEAS home Printed from https://ideas.repec.org/a/taf/sactxx/v2020y2020i2p84-109.html
   My bibliography  Save this article

Optimal asset allocation for participating contracts under the VaR and PI constraint

Author

Listed:
  • Yinghui Dong
  • Sang Wu
  • Wenxin Lv
  • Guojing Wang

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 joint value-at-risk and portfolio insurance constraint faced by the insurer who offers participating contracts. The insurer aims to maximize the expected utility of the terminal payoff to the insurer. We adopt a concavification technique and a Lagrange dual method to solve the problem and derive the representations of the optimal wealth process and trading strategies. We also carry out some numerical analysis to show how the joint value-at-risk and the portfolio insurance constraint impacts the optimal terminal wealth.

Suggested Citation

  • Yinghui Dong & Sang Wu & Wenxin Lv & Guojing Wang, 2020. "Optimal asset allocation for participating contracts under the VaR and PI constraint," Scandinavian Actuarial Journal, Taylor & Francis Journals, vol. 2020(2), pages 84-109, February.
    • Handle: RePEc:taf:sactxx:v:2020:y:2020:i:2:p:84-109
    DOI: 10.1080/03461238.2019.1636859
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/03461238.2019.1636859
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/03461238.2019.1636859?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:sactxx:v:2020:y:2020:i:2:p:84-109. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/sact .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.