ISBN 9783843946582

978-3-8439-4658-2, Reihe Mathematik

Hayk Hambardzumyan
Dynamic Hybrid Pension Products with Innovative Embedded Guarantee Structures and Optimal Portfolio Strategies

172 Seiten, Dissertation Technische Universität Kaiserslautern (2020), Hardcover, A5

Zusammenfassung / Abstract

Dynamic hybrid products are private pension products that consist of a dynamic combination of classical with profits participating life insurance contracts and fund saving plans with diverse risks and potential returns. The introduction of innovative concepts of optimal guarantee configurations, investment strategies and quantitative tools inside a dynamic hybrid product, can play a substantial role in determining the customer's willingness of buying this product with its customized guarantee forms and potential capital gains.

In this book we put such products into an optimal utility framework and derive an optimal combination of a money market account (or the actuarial reserve fund), a CPPI- or OBPI-style guarantee 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 and a suitably transformed utility structure. By this, we obtain (semi-)explicit forms of the dynamic weights for the different ingredients of a dynamic hybrid product.

We then propose innovative assessment models of optimal guarantee levels for dynamic hybrid products with optimal investment strategies. We further design a so-called potential pension α-bonus component for the products on a probabilistic basis. Consequently, we present a multi-instrumental guarantee profile for the dynamic hybrid product which can elaborately quantify the product's underlying offers also from the customer's perspective.

As subsequent innovative aspects, we construct cliquet-style static and performance-based dynamic periodical guarantee-updating mechanisms that are embedded inside generalized multi-period hybrid products. These products are also equipped with the streams of premium payments and potential pension α-bonuses. By nested algorithms and simulation studies we numerically analyse diverse characteristics and behaviours of the products' capital- and guarantee-performances.