Interest rate guarantees in unit-linked life insurance products ensure that at contract maturity, at least a minimum guaranteed amount is paid, even if the mutual fund falls below the guaranteed level. Strongly depending on the riskiness of the underlying mutual fund, these guarantees can be of...

The aim of this paper is to compare pricing and performance of mutual funds with two types of guarantees: a look back guarantee and an interest rate guarantee. In a simulation analysis of different portfolios based on stock, bond, real estate, and money market indices, we first calibrate...