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Dynamic hybrid products with guarantees – an optimal portfolio framework. (English) Zbl 1419.91369
Summary: 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.

91B30 Risk theory, insurance (MSC2010)
91G10 Portfolio theory
91G60 Numerical methods (including Monte Carlo methods)
Full Text: DOI
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