3 papers
q-fin.MF2025
Optimal Capital Structure for Life Insurance Companies Offering Surplus Participation
Felix Fießinger, Mitja Stadje
This manuscript develops a dynamic capital structure model of life insurance companies offering participating contracts. Specifically, we explain why life insurers offer guaranteed…
q-fin.MF2024
Mean-Variance Optimization for Participating Life Insurance Contracts
Felix Fießinger, Mitja Stadje
This paper studies the equity holders' mean-variance optimal portfolio choice problem for (non-)protected participating life insurance contracts. We derive explicit formulas for th…
math.PR2023
The Itô-Ventzell formula for weak Dirichlet processes
Felix Fießinger, Mitja Stadje
This paper proves an extension of the Itô-Ventzell formula that applies to stochastic flows in for continuous weak Dirichlet processes. We apply this theorem, for example…