Risk analysis and valuation of life insurance contracts: combining actuarial and financial approaches
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Publication:2276267
DOI10.1016/j.insmatheco.2011.02.008zbMath1218.91081OpenAlexW2064126360MaRDI QIDQ2276267
Jochen Ruß, Alexander Kling, Stefan Graf
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.2011.02.008
Related Items (15)
A measure to analyse the interaction of contracts in a heterogeneous life insurance portfolio ⋮ OPTIMAL ASSET ALLOCATION IN LIFE INSURANCE: THE IMPACT OF REGULATION ⋮ Return smoothing in life insurance from a client perspective ⋮ Analyzing the interest rate risk of equity-indexed annuities via scenario matrices ⋮ Analyzing surplus appropriation schemes in participating life insurance from the insurer's and the policyholder's perspective ⋮ Cross-subsidizing effects between existing and new policyholders in traditional life insurance ⋮ Runoff or redesign? Alternative guarantees and new business strategies for participating life insurance ⋮ A new approach for satisfactory pensions with no guarantees ⋮ Cliquet-style return guarantees in a regime switching Lévy model ⋮ The value of interest rate guarantees in participating life insurance contracts: status quo and alternative product design ⋮ Pension saving schemes with return smoothing mechanism ⋮ Fair valuation of cliquet-style return guarantees in (homogeneous and) heterogeneous life insurance portfolios ⋮ Measuring profitability of life insurance products under Solvency II ⋮ Multi-year analysis of solvency capital in life insurance ⋮ Analyzing the effect of low interest rates on the surplus participation of life insurance policies with different annual interest rate guarantees
Cites Work
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- Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies
- Risk measure and fair valuation of an investment guarantee in life insurance
- An equilibrium characterization of the term structure
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