Analyzing the effect of low interest rates on the surplus participation of life insurance policies with different annual interest rate guarantees

DOI10.1007/S13385-014-0102-3MaRDI QIDQ2356233zbMATH OpenOpenAlexFDO

Authors Peter Hieber, Ralf Korn, Matthias Scherer

Publication date 29 July 2015

Published in European Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s13385-014-0102-3

zbMATH Keywords

life insurance policyminimal return guaranteessurplus distribution

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• The interaction of guarantees, surplus distribution, and asset allocation in with-profit life insurance policies
• Policy characteristics and stakeholder returns in participating life insurance: which contracts can lead to a win-win?
• The value of interest rate guarantees in participating life insurance contracts: status quo and alternative product design
• Analyzing surplus appropriation schemes in participating life insurance from the insurer's and the policyholder's perspective
• Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies

Cites work

• An equilibrium characterization of the term structure
• Analyzing surplus appropriation schemes in participating life insurance from the insurer's and the policyholder's perspective
• Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies
• scientific article; zbMATH DE number 859030 (Why is no real title available?)
• Pension saving schemes with return smoothing mechanism
• Risk analysis and valuation of life insurance contracts: combining actuarial and financial approaches
• Risk measure and fair valuation of an investment guarantee in life insurance
• Risk-neutral valuation of participating life insurance contracts

Cited in

(15)

• Equity-linked life insurance based on traditional products: the case of select products
• Runoff or redesign? Alternative guarantees and new business strategies for participating life insurance
• An analysis of transaction costs in participating life insurance under mean-variance preferences
• The value of interest rate guarantees in participating life insurance contracts: status quo and alternative product design
• An analytical study of participating policies with minimum rate guarantee and surrender option
• Policy characteristics and stakeholder returns in participating life insurance: which contracts can lead to a win-win?
• Analyzing surplus appropriation schemes in participating life insurance from the insurer's and the policyholder's perspective
• Return smoothing in life insurance from a client perspective
• scientific article; zbMATH DE number 1995603 (Why is no real title available?)
• OPTIMAL ASSET ALLOCATION IN LIFE INSURANCE: THE IMPACT OF REGULATION
• Cliquet-style return guarantees in a regime switching Lévy model
• Fair valuation of cliquet-style return guarantees in (homogeneous and) heterogeneous life insurance portfolios
• Cross-subsidizing effects between existing and new policyholders in traditional life insurance
• From intertemporal smoothing to intergenerational risk sharing: the effects of different return smoothing mechanisms in life insurance
• The interaction of guarantees, surplus distribution, and asset allocation in with-profit life insurance policies

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