The value of interest rate guarantees in participating life insurance contracts: status quo and alternative product design
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comparative analysisinterest rate guarantee60\% rulealternative guarantee designparticipating life insurance contract
Recommendations
- Interest guarantees and model risk in life insurance
- Risk-neutral valuation of participating life insurance contracts in a stochastic interest rate environment
- Analyzing the effect of low interest rates on the surplus participation of life insurance policies with different annual interest rate guarantees
- Market value of life insurance contracts under stochastic interest rates and default risk
- 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
Cites work
- scientific article; zbMATH DE number 4048925 (Why is no real title available?)
- A FAMILY OF TERM‐STRUCTURE MODELS FOR LONG‐TERM RISK MANAGEMENT AND DERIVATIVE PRICING
- A theory of the term structure of interest rates
- A utility-based comparison of pension funds and life insurance companies under regulatory constraints
- Differential evolution -- a simple and efficient heuristic for global optimization over continuous spaces
- Differential evolution. A practical approach to global optimization. With CD-ROM.
- 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
- Interest guarantees and model risk in life insurance
- Interest rate models -- theory and practice. With smile, inflation and credit
- Minimum Rate of Return Guarantees: The Danish Case
- Risk analysis and valuation of life insurance contracts: combining actuarial and financial approaches
- Risk comparison of different bonus distribution approaches in participating life insurance
- Risk measure and fair valuation of an investment guarantee in life insurance
- Risk-neutral valuation of participating life insurance contracts
- Risk-neutral valuation of participating life insurance contracts in a stochastic interest rate environment
- Stochastic calculus for finance. II: Continuous-time models.
- The interaction of guarantees, surplus distribution, and asset allocation in with-profit life insurance policies
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
- Unterscheidungskriterium Partizipationssatz bei der Aktienindexgebundenen Lebensversicherung
- PRICING PARTICIPATING POLICIES WITH RATE GUARANTEES
- 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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