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