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We propose to develop a new class of investment insurance products forholders of superannuation accounts in Australia, which we tentatively callequity protection swaps (EPSs). An EPS is a standalone financial derivative,which is reminiscent of a total return swap but also shares some features withthe variable annuity known as the registered index-linked annuity (RILA). Thebuyer of an EPS obtains partial protection against losses on a referenceportfolio and, in exchange, agrees to share portfolio gains with the insuranceprovider if the realized return on a reference portfolio is above apredetermined threshold. Formally, a generic EPS consists of protection and feelegs with participation rates agreed upon by the provider and holder. A generalfair pricing formula for an EPS is obtained by considering a static hedgingstrategy based on traded European options. It is argued that to make thecontract appealing to holders, the provider should select appropriateprotection and fee rates that make the fair premium at the contract's inceptionequal to zero. A numerical study based on the Black-Scholes model and empiricaltests based on market data for S\&P~500 and S&P/ASX~200 indices for 2020-2022demonstrates the benefits of an EPS as an efficient investment insurance toolfor superannuation accounts.

Equity Protection Swaps: A New Type of Investment Insurance for Holders of Superannuation Accounts