Structured Life Insurance and Investment Products for Retail Investors

Structured life insurance and investment products combine individual financial instruments such as bonds and stocks with positions in financial derivatives. These products are tailored to give retail investors the opportunity to optimize their investment portfolios by including derivative structures and strategies which are usually not available to retail investors. The first part of this thesis is concerned with structured life insurance products. Here, existing contracts with a terminal wealth guarantee are analyzed with respect to their optimality for a retail investor. Special emphasis is put on innovative riders and stochastic background risk the investor faces additionally. The second part considers the pricing, risk management and optimality of structured investment products. The fifth chapter provides an analysis of a complex newly issued certicate. The final core chapter compares two prominent portfolio insurance strategies under borrowing constraints with respect to their optimality for a retail investor.

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