An analysis of transaction costs in participating life insurance under mean-variance preferences

DOI10.1016/J.INSMATHECO.2019.01.003zbMath1419.91364OpenAlexW2911731828MaRDI QIDQ1735046

Nadine Gatzert

Publication date: 28 March 2019

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2019.01.003

zbMATH Keywords

transaction costsmean-variance preferencesparticipating life insurancelow interest rate environmentsurplus participation

Mathematics Subject Classification ID

Cites Work

• Optimum consumption and portfolio rules in a continuous-time model
• On the optimal design of insurance contracts with guarantees
• Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies
• Bringing cost transparency to the life annuity market
• Mean-variance approximations to expected utility
• Arbitrage Theory in Continuous Time

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