OPTIMAL ASSET ALLOCATION IN LIFE INSURANCE: THE IMPACT OF REGULATION

DOI10.1017/asb.2016.12zbMath1390.91169OpenAlexW3122252682MaRDI QIDQ4563780

Peter Hieber, An Chen

Publication date: 4 June 2018

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/asb.2016.12

zbMATH Keywords

regulationmultiobjective optimizationutility maximizationrisk sharinglife insurancedefault risk

Mathematics Subject Classification ID

Related Items (7)

Constrained non-concave utility maximization: an application to life insurance contracts with guarantees ⋮ Portfolio optimization with wealth-dependent risk constraints ⋮ Optimal dividends for regulated insurers with a nonlinear penalty ⋮ Analyzing the interest rate risk of equity-indexed annuities via scenario matrices ⋮ A Classification Approach to General S-Shaped Utility Optimization with Principals' Constraints ⋮ Regulatory measures for distressed insurance undertakings: a comparative study ⋮ Fair valuation of cliquet-style return guarantees in (homogeneous and) heterogeneous life insurance portfolios

Cites Work

• Unnamed Item
• Risk-neutral valuation of participating life insurance contracts
• Default risk, bankruptcy procedures and the market value of life insurance liabilities
• Stochastic calculus for finance. II: Continuous-time models.
• On the management of life insurance company risk by strategic choice of product mix, investment strategy and surplus appropriation schemes
• Risk analysis and valuation of life insurance contracts: combining actuarial and financial approaches
• Analyzing the effect of low interest rates on the surplus participation of life insurance policies with different annual interest rate guarantees
• Best portfolio insurance for long-term investment strategies in realistic conditions
• Double Lookbacks

This page was built for publication: OPTIMAL ASSET ALLOCATION IN LIFE INSURANCE: THE IMPACT OF REGULATION