The value of interest rate guarantees in participating life insurance contracts: status quo and alternative product design
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Publication:2015616
DOI10.1016/J.INSMATHECO.2013.08.002zbMATH Open1290.91085OpenAlexW2136731403MaRDI QIDQ2015616FDOQ2015616
Authors: Martin Eling, Stefan Holder 
Publication date: 23 June 2014
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: http://ux-tauri.unisg.ch/RePEc/usg/sfwpfi/WPF-1221.pdf
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- Analyzing the effect of low interest rates on the surplus participation of life insurance policies with different annual interest rate guarantees
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- Valuation of life insurance products under stochastic interest rates
- Fair Pricing of Life Insurance Participating Policies with a Minimum Interest Rate Guaranteed
- Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies
- Unterscheidungskriterium Partizipationssatz bei der Aktienindexgebundenen Lebensversicherung
- Bestimmung des Partizipationssatzes bei der Aktienindexgebundenen Lebensversicherung
comparative analysisinterest rate guarantee60\% rulealternative guarantee designparticipating life insurance contract
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- Interest rate models -- theory and practice. With smile, inflation and credit
- Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies
- Minimum Rate of Return Guarantees: The Danish Case
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- Fair Pricing of Life Insurance Participating Policies with a Minimum Interest Rate Guaranteed
- A FAMILY OF TERM‐STRUCTURE MODELS FOR LONG‐TERM RISK MANAGEMENT AND DERIVATIVE PRICING
- The interaction of guarantees, surplus distribution, and asset allocation in with-profit life insurance policies
- Risk analysis and valuation of life insurance contracts: combining actuarial and financial approaches
- Risk-neutral valuation of participating life insurance contracts in a stochastic interest rate environment
- Risk comparison of different bonus distribution approaches in participating life insurance
- Risk-neutral valuation of participating life insurance contracts
- A utility-based comparison of pension funds and life insurance companies under regulatory constraints
- Interest guarantees and model risk in life insurance
Cited In (15)
- Policy characteristics and stakeholder returns in participating life insurance: which contracts can lead to a win-win?
- Optimal Portfolio Choice in Retirement With Participating Life Annuities
- An analysis of transaction costs in participating life insurance under mean-variance preferences
- Analyzing the effect of low interest rates on the surplus participation of life insurance policies with different annual interest rate guarantees
- Decrease of capital guarantees in life insurance products: can reinsurance stop it?
- Dynamic hybrid products in life insurance: assessing the policyholders' viewpoint
- How sensitive is the pricing of lookback and interest rate guarantees when changing the modelling assumptions?
- Capital Forbearance, Ex Ante Life Insurance Guaranty Schemes, and Interest Rate Uncertainty
- PRICING PARTICIPATING POLICIES WITH RATE GUARANTEES
- Unterscheidungskriterium Partizipationssatz bei der Aktienindexgebundenen Lebensversicherung
- Surplus participation schemes for life annuities under Solvency II
- Valuation of longevity-linked life annuities
- Unisex pricing of German participating life annuities -- boon or bane for customer and insurance company?
- An analytical study of participating policies with minimum rate guarantee and surrender option
- Runoff or redesign? Alternative guarantees and new business strategies for participating life insurance
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