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Mahayni A, Schlögl E (2008). The Risk Management of Minimum Return Guarantees. BuR - Business Research, Vol. 1, Iss. 1, pp. 55-76, URN: urn:nbn:de:0009-20-13928
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%0 Journal Article %T The Risk Management of Minimum Return Guarantees %A Mahayni, Antje %A Schlögl, Erik %J BuR - Business Research %D 2008 %V 1 %N 1 %@ 1866-8658 %F mahayni2008 %X Contracts paying a guaranteed minimum rate of return and a fraction of a positive excess rate, which is specified relative to a benchmark portfolio, are closely related to unit-linked life-insurance products and can be considered as alternatives to direct investment in the underlying benchmark. They contain an embedded power option, and the key issue is the tractable and realistic hedging of this option, in order to rigorously justify valuation by arbitrage arguments and prevent the guarantees from becoming uncontrollable liabilities to the issuer. We show how to determine the contract parameters conservatively and implement robust risk-management strategies. %L 330 %K Minimum return guarantee %K defined-contribution pension plans %K life-insurance %K uncertain volatility %K conservative pricing %K robust hedging %K model misspecification %K model risk %U http://nbn-resolving.de/urn:nbn:de:0009-20-13928 %P 55-76
Bibtex
@Article{mahayni2008,
author = "Mahayni, Antje
and Schl{\"o}gl, Erik",
title = "The Risk Management of Minimum Return Guarantees",
journal = "BuR - Business Research",
year = "2008",
volume = "1",
number = "1",
pages = "55--76",
keywords = "Minimum return guarantee",
keywords = "defined-contribution pension plans",
keywords = "life-insurance",
keywords = "uncertain volatility",
keywords = "conservative pricing",
keywords = "robust hedging",
keywords = "model misspecification",
keywords = "model risk",
abstract = "Contracts paying a guaranteed minimum rate of return and a fraction of a positive excess rate, which is specified relative to a benchmark portfolio, are closely related to unit-linked life-insurance products and can be considered as alternatives to direct investment in the underlying benchmark. They contain an embedded power option, and the key issue is the tractable and realistic hedging of this option, in order to rigorously justify valuation by arbitrage arguments and prevent the guarantees from becoming uncontrollable liabilities to the issuer. We show how to determine the contract parameters conservatively and implement robust risk-management strategies.",
issn = "1866-8658",
url = "http://nbn-resolving.de/urn:nbn:de:0009-20-13928"
}
RIS
TY - JOUR AU - Mahayni, Antje AU - Schlögl, Erik PY - 2008// TI - The Risk Management of Minimum Return Guarantees JO - BuR - Business Research SP - 55 EP - 76 VL - 1 IS - 1 KW - Minimum return guarantee KW - defined-contribution pension plans KW - life-insurance KW - uncertain volatility KW - conservative pricing KW - robust hedging KW - model misspecification KW - model risk N2 - Contracts paying a guaranteed minimum rate of return and a fraction of a positive excess rate, which is specified relative to a benchmark portfolio, are closely related to unit-linked life-insurance products and can be considered as alternatives to direct investment in the underlying benchmark. They contain an embedded power option, and the key issue is the tractable and realistic hedging of this option, in order to rigorously justify valuation by arbitrage arguments and prevent the guarantees from becoming uncontrollable liabilities to the issuer. We show how to determine the contract parameters conservatively and implement robust risk-management strategies. SN - 1866-8658 UR - http://nbn-resolving.de/urn:nbn:de:0009-20-13928 ID - mahayni2008 ER -
Wordbib
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ISI
PT Journal AU Mahayni, A Schlögl, E TI The Risk Management of Minimum Return Guarantees SO BuR - Business Research PY 2008 BP 55 EP 76 VL 1 IS 1 DE Minimum return guarantee; defined-contribution pension plans; life-insurance; uncertain volatility; conservative pricing; robust hedging; model misspecification; model risk AB Contracts paying a guaranteed minimum rate of return and a fraction of a positive excess rate, which is specified relative to a benchmark portfolio, are closely related to unit-linked life-insurance products and can be considered as alternatives to direct investment in the underlying benchmark. They contain an embedded power option, and the key issue is the tractable and realistic hedging of this option, in order to rigorously justify valuation by arbitrage arguments and prevent the guarantees from becoming uncontrollable liabilities to the issuer. We show how to determine the contract parameters conservatively and implement robust risk-management strategies. ER
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Full Metadata
| Bibliographic Citation | BuR - Business Research, Vol. 1, Iss. 1, pp. 55-76 |
|---|---|
| Title | The Risk Management of Minimum Return Guarantees (eng) |
| Author | Antje Mahayni, Erik Schlögl |
| Language | eng |
| Abstract | Contracts paying a guaranteed minimum rate of return and a fraction of a positive excess rate, which is specified relative to a benchmark portfolio, are closely related to unit-linked life-insurance products and can be considered as alternatives to direct investment in the underlying benchmark. They contain an embedded power option, and the key issue is the tractable and realistic hedging of this option, in order to rigorously justify valuation by arbitrage arguments and prevent the guarantees from becoming uncontrollable liabilities to the issuer. We show how to determine the contract parameters conservatively and implement robust risk-management strategies. |
| Subject | Minimum return guarantee, defined-contribution pension plans, life-insurance, uncertain volatility, conservative pricing, robust hedging, model misspecification, model risk |
| DDC | 330 |
| Rights | authorcontract |
| URN: | urn:nbn:de:0009-20-13928 |
