On the management of life insurance company risk by strategic choice of product mix, investment strategy and surplus appropriation schemes

DOI10.1016/J.INSMATHECO.2014.11.003zbMATH Open1308.91076OpenAlexW3125269080MaRDI QIDQ2260948FDOQ2260948

Authors: Alexander Bohnert, Nadine Gatzert, Peter Løchte Jørgensen 

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

Recommendations

• Asset management and surplus distribution strategies in life insurance: An examination with respect to risk pricing and risk measurement
• The interaction of guarantees, surplus distribution, and asset allocation in with-profit life insurance policies
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• Risk analysis and valuation of life insurance contracts: combining actuarial and financial approaches
• Quantitative modeling of risk management strategies: stochastic reserving and hedging of variable annuity guaranteed benefits

zbMATH Keywords

risk-neutral valuationparticipating life insurancesurplus distributionfair risk chargemanagement mechanisms

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites Work

• A general asset-liability management model for the efficient simulation of portfolios of life insurance policies
• Fair valuation of participating policies with surrender options and regime switching
• 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
• Fair valuation of path-dependent participating life insurance contracts.
• The interaction of guarantees, surplus distribution, and asset allocation in with-profit life insurance policies
• Valuation and hedging of participating life-insurance policies under management discretion
• The effect of management discretion on hedging and fair valuation of participating policies with maturity guarantees
• Asset management and surplus distribution strategies in life insurance: An examination with respect to risk pricing and risk measurement
• 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
• A performance analysis of participating life insurance contracts
• Return smoothing mechanisms in life and pension insurance: path-dependent contingent claims
• Analyzing surplus appropriation schemes in participating life insurance from the insurer's and the policyholder's perspective
• Participating payout life annuities: lessons from Germany
• Pension saving schemes with return smoothing mechanism
• 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

Cited In (13)

• Title not available (Why is that?)
• A COVID-19 stress test for life insurance: insights into the effectiveness of different risk mitigation strategies
• 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
• Long-term stability of a life insurer's balance sheet
• Profitability vs. attractiveness within a performance analysis of a life annuity business
• Analyzing surplus appropriation schemes in participating life insurance from the insurer's and the policyholder's perspective
• Title not available (Why is that?)
• Measuring profitability of life insurance products under Solvency II
• Asset management and surplus distribution strategies in life insurance: An examination with respect to risk pricing and risk measurement
• Surplus participation schemes for life annuities under Solvency II
• Unisex pricing of German participating life annuities -- boon or bane for customer and insurance company?
• OPTIMAL ASSET ALLOCATION IN LIFE INSURANCE: THE IMPACT OF REGULATION

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