Groupe d’études et de recherche en analyse des décisions

Pricing the Guarantees Offered by Segregated Funds

Ali Boudhina

A Segregated Fund is an investment fund in the form of an insurance contract offering certain guarantees to the policyholder. Segregated funds are interesting alternatives for investors who want to protect their pension, while benefitting from returns from the stock market. This talk presents a dynamic programming approach to price guarantees and options offered by segregated funds, namely the death and maturity guarantees and the reset option. The design of such contracts will also be discussed.


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We would highly appreciate if you could confirm your attendance.