arXiv subjects

Felix Fießinger

Publications and source records attributed to Felix Fießinger.

4 recordsLinked to original sources

arXiv2026

Optimal Capital Structure for Life Insurance Companies Offering Surplus Participation

This manuscript develops a dynamic capital structure model of life insurance companies offering participating contracts. Specifically, we explain why life insurers offer guaranteed payments either with or without policyholder surplus participation and derive conditions under which participating features are endogenously preferred. We show that surplus participation helps mitigate the asset substitution effect but is not always optimal. Depending on the tax rate and the recovery rate in bankruptcy, the insurer may optimally choose a non-participating contract.

q-fin.MF↗

arXiv2026

Time-Consistent Asset Allocation for Risk Measures in a Lévy Market

Focusing on gains & losses relative to a risk-free benchmark instead of terminal wealth, we consider an asset allocation problem to maximize time-consistently a mean-risk reward function with a general risk measure which is i) law-invariant, ii) cash- or shift-invariant, and iii) positively homogeneous, and possibly plugged into a general function. Examples include (relative) Value at Risk, coherent risk measures, variance, and generalized deviation risk measures. We model the market via a generalized version of the multi-dimensional Black-Scholes model using $α$-stable Lévy processes and give supplementary results for the classical Black-Scholes model. The optimal solution to this problem is a Nash subgame equilibrium given by the solution of an extended Hamilton-Jacobi-Bellman equation. Moreover, we show that the optimal solution is deterministic under appropriate assumptions.

q-fin.MF↗

arXiv2025

The $C^{0,1}$ Itô-Ventzell formula for weak Dirichlet processes

This paper proves an extension of the Itô-Ventzell formula that applies to stochastic flows in $C^{0,1}$ for continuous weak Dirichlet processes. We apply this theorem, for example, to give a representation result for strong solutions of time-dependent elliptic SPDEs, to derive formulas for quadratic variations, and to relax assumptions in a financial mathematics context.

math.PR↗

arXiv2025

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.

q-fin.MF↗