A utility-based comparison of pension funds and life insurance companies under regulatory constraints

DOI10.1016/J.INSMATHECO.2011.01.011MaRDI QIDQ2276252zbMATH OpenOpenAlexFDO

Authors Dirk Broeders, An Chen, Birgit Koos

Publication date 1 August 2011

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.insmatheco.2011.01.011

zbMATH Keywords

certainty equivalentsbarrier optionsannuitiespension planscontingent claim approach

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Utility theory (91B16)

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Cites work

• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• Default risk, bankruptcy procedures and the market value of life insurance liabilities
• Pension fund investments and the valuation of liabilities under conditional indexation
• The interaction of guarantees, surplus distribution, and asset allocation in with-profit life insurance policies

Cited in

(8)

• A survey of personalized treatment models for pricing strategies in insurance
• Accounting and actuarial smoothing of retirement payouts in participating life annuities
• Current developments in German pension schemes: what are the benefits of the new target pension?
• Decrease of capital guarantees in life insurance products: can reinsurance stop it?
• Dynamic hybrid products in life insurance: assessing the policyholders' viewpoint
• The value of interest rate guarantees in participating life insurance contracts: status quo and alternative product design
• Intertemporal utility of tax-deferred pension insurance based on Markov chain
• A decision-dependent randomness stochastic program for asset-liability management model with a pricing decision

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