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arXiv · 2407.11761

Mean-Variance Optimization for Participating Life Insurance Contracts

Felix Fießinger·Mitja Stadje
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Abstract

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.

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Felix Fießinger, Mitja Stadje. 2024-07-16. Mean-Variance Optimization for Participating Life Insurance Contracts. https://arxiv.org/abs/2407.11761

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