Mixed participating and unit-linked life insurance contracts: design, pricing and optimal strategy

DOI10.1080/03461238.2021.1992001zbMath1492.91294OpenAlexW3209433125MaRDI QIDQ5865322

Pierre Devolder, Peter Hieber, Vanessa Hanna

Publication date: 13 June 2022

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://dial.uclouvain.be/pr/boreal/fr/object/boreal%3A243952/datastream/PDF_01/view

zbMATH Keywords

expected utilitycumulative prospect theorylife and pension insuranceparticipating contractinvestment guaranteemixed insurance contractsunit-linked contract

Mathematics Subject Classification ID

Utility theory (91B16) Actuarial mathematics (91G05)

Cites Work

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• Martingales and arbitrage in multiperiod securities markets
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• Constrained non-concave utility maximization: an application to life insurance contracts with guarantees
• Equity-linked life insurance based on traditional products: the case of select products
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• A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities
• Minimum Rate of Return Guarantees: The Danish Case
• The Probability Weighting Function
• Fair Pricing of Life Insurance Participating Policies with a Minimum Interest Rate Guaranteed
• Fair valuation of cliquet-style return guarantees in (homogeneous and) heterogeneous life insurance portfolios
• Financial Economics

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