On the management of life insurance company risk by strategic choice of product mix, investment strategy and surplus appropriation schemes
From MaRDI portal
Publication:2260948
DOI10.1016/j.insmatheco.2014.11.003zbMath1308.91076OpenAlexW3125269080MaRDI QIDQ2260948
Nadine Gatzert, Peter Løchte Jørgensen, Alexander Bohnert
Publication date: 13 March 2015
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2014.11.003
risk-neutral valuationparticipating life insurancesurplus distributionfair risk chargemanagement mechanisms
Related Items (7)
The benefit of life insurance contracts with capped index participation when stock prices are subject to jump risk ⋮ Valuation and risk assessment of participating life insurance in the presence of credit risk ⋮ OPTIMAL ASSET ALLOCATION IN LIFE INSURANCE: THE IMPACT OF REGULATION ⋮ Unisex pricing of German participating life annuities -- boon or bane for customer and insurance company? ⋮ Long-term stability of a life insurer's balance sheet ⋮ Surplus participation schemes for life annuities under Solvency II ⋮ Measuring profitability of life insurance products under Solvency II
Cites Work
- A joint valuation of premium payment and surrender options in participating life insurance contracts
- Optimal asset allocation for a general portfolio of life insurance policies
- Fair valuation of participating policies with surrender options and regime switching
- The interaction of guarantees, surplus distribution, and asset allocation in with-profit life insurance policies
- The effect of management discretion on hedging and fair valuation of participating policies with maturity guarantees
- A general asset-liability management model for the efficient simulation of portfolios of life insurance policies
- Asset management and surplus distribution strategies in life insurance: An examination with respect to risk pricing and risk measurement
- Valuation and hedging of participating life-insurance policies under management discretion
- Fair valuation of path-dependent participating life insurance contracts.
- Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies
- Pension saving schemes with return smoothing mechanism
- Analyzing surplus appropriation schemes in participating life insurance from the insurer's and the policyholder's perspective
- A performance analysis of participating life insurance contracts
- Return smoothing mechanisms in life and pension insurance: path-dependent contingent claims
- Performance measurement of pension strategies: a case study of Danish life cycle products
- Fair Valuation of Life Insurance Contracts Under a Correlated Jump Diffusion Model
- Minimum Rate of Return Guarantees: The Danish Case
- PARTICIPATING PAYOUT LIFE ANNUITIES: LESSONS FROM GERMANY
This page was built for publication: On the management of life insurance company risk by strategic choice of product mix, investment strategy and surplus appropriation schemes
