{"title":"分红人寿保险合同的均值-方差优化","authors":"Felix Fießinger, Mitja Stadje","doi":"arxiv-2407.11761","DOIUrl":null,"url":null,"abstract":"This paper studies the equity holders' mean-variance optimal portfolio choice\nproblem for (non-)protected participating life insurance contracts. We derive\nexplicit formulas for the optimal terminal wealth and the optimal strategy in\nthe multi-dimensional Black-Scholes model, showing the existence of all\nnecessary parameters. In incomplete markets, we state Hamilton-Jacobi-Bellman\nequations for the value function. Moreover, we provide a numerical analysis of\nthe Black-Scholes market. The equity holders on average increase their\ninvestment into the risky asset in bad economic states and decrease their\ninvestment over time.","PeriodicalId":501084,"journal":{"name":"arXiv - QuantFin - Mathematical Finance","volume":"45 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2024-07-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Mean-Variance Optimization for Participating Life Insurance Contracts\",\"authors\":\"Felix Fießinger, Mitja Stadje\",\"doi\":\"arxiv-2407.11761\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"This paper studies the equity holders' mean-variance optimal portfolio choice\\nproblem for (non-)protected participating life insurance contracts. We derive\\nexplicit formulas for the optimal terminal wealth and the optimal strategy in\\nthe multi-dimensional Black-Scholes model, showing the existence of all\\nnecessary parameters. In incomplete markets, we state Hamilton-Jacobi-Bellman\\nequations for the value function. Moreover, we provide a numerical analysis of\\nthe Black-Scholes market. The equity holders on average increase their\\ninvestment into the risky asset in bad economic states and decrease their\\ninvestment over time.\",\"PeriodicalId\":501084,\"journal\":{\"name\":\"arXiv - QuantFin - Mathematical Finance\",\"volume\":\"45 1\",\"pages\":\"\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2024-07-16\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"arXiv - QuantFin - Mathematical Finance\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/arxiv-2407.11761\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"arXiv - QuantFin - Mathematical Finance","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/arxiv-2407.11761","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Mean-Variance Optimization for Participating Life Insurance Contracts
This paper studies the equity holders' mean-variance optimal portfolio choice
problem for (non-)protected participating life insurance contracts. We derive
explicit formulas for the optimal terminal wealth and the optimal strategy in
the multi-dimensional Black-Scholes model, showing the existence of all
necessary parameters. In incomplete markets, we state Hamilton-Jacobi-Bellman
equations for the value function. Moreover, we provide a numerical analysis of
the Black-Scholes market. The equity holders on average increase their
investment into the risky asset in bad economic states and decrease their
investment over time.