Long-term stability of a life insurer's balance sheet

DOI10.1007/S13385-022-00322-4zbMath1521.91329OpenAlexW4295681599MaRDI QIDQ6173887

Susanne Reetz, Roman Horsky, Maximilian Diehl, Jörn Sass

Publication date: 13 July 2023

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

Full work available at URL: https://doi.org/10.1007/s13385-022-00322-4

zbMATH Keywords

cohortsasset-liability managementlife insurancebalance sheetmodel pointsnew businessguaranteed interest rate

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites Work

• Risk-neutral valuation of participating life insurance contracts
• The interaction of guarantees, surplus distribution, and asset allocation in with-profit life insurance policies
• Risk-neutral valuation of participating life insurance contracts in a stochastic interest rate environment
• A general asset-liability management model for the efficient simulation of portfolios of life insurance policies
• Lapse tables for lapse risk management in insurance: a competing risk approach
• Allowance for surplus funds under Solvency II: adequate reflection of risk sharing between policyholders and shareholders in a risk-based solvency framework?
• Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies
• On the management of life insurance company risk by strategic choice of product mix, investment strategy and surplus appropriation schemes
• Analyzing surplus appropriation schemes in participating life insurance from the insurer's and the policyholder's perspective
• Fair valuation of cliquet-style return guarantees in (homogeneous and) heterogeneous life insurance portfolios

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