77 citations · 109 across the 22 of their papers we have counts for
7 papers · 1 filter
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…
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…
Time-Consistent Asset Allocation for Risk Measures in a Lévy Market
Felix Fießinger, Mitja Stadje
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 fu…
Utility maximization under endogenous pricing
Thai Nguyen, Mitja Stadje
We study the expected utility maximization problem of a large investor who is allowed to make transactions on tradable assets in an incomplete financial market with endogenous perm…
Robustness of Delta Hedging in a Jump-Diffusion Model
Frank Bosserhoff, Mitja Stadje
Suppose an investor aims at Delta hedging a European contingent claim in a jump-diffusion model, but incorrectly specifies the stock price's volatility and jump sensitivi…
Optimal investment for participating insurance contracts under VaR-Regulation
Thai Nguyen, Mitja Stadje
This paper studies a Value-at-Risk (VaR)-regulated optimal portfolio problem of the equity holders of a participating life insurance contract. In a setting with unhedgeable mortali…