The interaction of guarantees, surplus distribution, and asset allocation in with-profit life insurance policies
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Publication:865621
DOI10.1016/j.insmatheco.2006.03.007zbMath1273.91238OpenAlexW1988397962MaRDI QIDQ865621
Jochen Ruß, Alexander Kling, Andreas Richter
Publication date: 19 February 2007
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2006.03.007
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Related Items (27)
The benefit of life insurance contracts with capped index participation when stock prices are subject to jump risk ⋮ Accounting and actuarial smoothing of retirement payouts in participating life annuities ⋮ Risk-neutral valuation of participating life insurance contracts ⋮ Interest guarantees and model risk in life insurance ⋮ Quantitative assessment of common practice procedures in the fair evaluation of embedded options in insurance contracts ⋮ Optimal investment strategies for participating contracts ⋮ Managing reputational risk in the decumulation phase of a pension fund ⋮ Analyzing surplus appropriation schemes in participating life insurance from the insurer's and the policyholder's perspective ⋮ Unisex pricing of German participating life annuities -- boon or bane for customer and insurance company? ⋮ Long-term stability of a life insurer's balance sheet ⋮ Cross-subsidizing effects between existing and new policyholders in traditional life insurance ⋮ Risk comparison of different bonus distribution approaches in participating life insurance ⋮ Runoff or redesign? Alternative guarantees and new business strategies for participating life insurance ⋮ Allowance for surplus funds under Solvency II: adequate reflection of risk sharing between policyholders and shareholders in a risk-based solvency framework? ⋮ A new approach for satisfactory pensions with no guarantees ⋮ A performance analysis of participating life insurance contracts ⋮ Valuing the profit share in participating pure-endowment policies with return of premiums ⋮ Risk-neutral valuation of participating life insurance contracts in a stochastic interest rate environment ⋮ Fair valuation of insurance contracts under Lévy process specifications ⋮ On the management of life insurance company risk by strategic choice of product mix, investment strategy and surplus appropriation schemes ⋮ The value of interest rate guarantees in participating life insurance contracts: status quo and alternative product design ⋮ A utility-based comparison of pension funds and life insurance companies under regulatory constraints ⋮ Risk analysis and valuation of life insurance contracts: combining actuarial and financial approaches ⋮ A general asset-liability management model for the efficient simulation of portfolios of life insurance policies ⋮ Asset management and surplus distribution strategies in life insurance: An examination with respect to risk pricing and risk measurement ⋮ Surplus participation schemes for life annuities under Solvency II ⋮ Policy characteristics and stakeholder returns in participating life insurance: which contracts can lead to a win-win?
Cites Work
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- Fair valuation of path-dependent participating life insurance contracts.
- Risk-neutral valuation. Pricing and hedging of financial derivatives.
- Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies
- Minimum Rate of Return Guarantees: The Danish Case
- Guaranteed Investment Contracts: Distributed and Undistributed Excess Return
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