Peter Hieber: Optimal (self-)hedging of investment guarantees

V torek, 19. 5. 2026, ob 16:30 bo v predavalnici 3.06 v okviru seminarja VeSFiM potekalo predavanje Petera Hiebera (University of Lausanne) z naslovom Optimal (self-)hedging of investment guarantees.

Povzetek: Many life insurance contracts provide a financial guarantee to policyholders. In such a contract, typically, the insurance company guarantees a minimum rate of return. If the financial return exceeds this guaranteed return, the resulting surplus is shared between the insurance company and policyholders. How the funds of the contracts are invested is at the choice of the insurance company. We first discuss the optimal investment strategy for such a contract in an expected utility framework. Mathematically, this leads to a problem of non-concave utility maximization under a fair pricing constraint. In a numerical section, we analyze innovative retirement products that adapt the investment strategy of the premium pool according to the policyholder's preferences, modeled as constant relative risk aversion (CRRA). Such products are a response to the loss of attractiveness of traditional life insurance contracts with guarantees that are negatively affected by increasing solvency requirements for return guarantees and a general decrease in interest rate levels. In the second part of the talk, we discuss how the insurance company can "self-hedge" its insurance contracts. In short, the insurance company adapts the investment strategy (asset side of the balance sheet) to the investment guarantees promised to policyholders (liability side of the balance sheet).

Barigou, K., Hieber, P. (2026). Self-hedging participating life insurance contracts, work in progress.

Chen, A., Hieber, P., & Nguyen, T. (2019). Constrained non-concave utility maximization: An application to life insurance contracts with guarantees. European Journal of Operational Research, 273(3), 1119-1135.

Predavanje bo potekalo v živo.

Vljudno vabljeni!