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.2006.03.007zbMATH Open1273.91238OpenAlexW1988397962MaRDI QIDQ865621FDOQ865621
Authors: Alexander Kling, Andreas Richter, Jochen Ruß 
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
Recommendations
- Asset management and surplus distribution strategies in life insurance: An examination with respect to risk pricing and risk measurement
- Stochastic analysis of life insurance surplus
- Analysis of survivorship life insurance portfolios with stochastic rates of return
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- Analyzing the effect of low interest rates on the surplus participation of life insurance policies with different annual interest rate guarantees
- The effect of policyholders' rationality on unit-linked life insurance contracts with surrender guarantees
- Optimal allocation and consumption with guaranteed minimum death benefits, external income and term life insurance
- Analyzing surplus appropriation schemes in participating life insurance from the insurer's and the policyholder's perspective
- A general surplus decomposition principle in life insurance
Cites Work
- Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies
- Title not available (Why is that?)
- Minimum Rate of Return Guarantees: The Danish Case
- Guaranteed Investment Contracts: Distributed and Undistributed Excess Return
- Risk-neutral valuation. Pricing and hedging of financial derivatives.
- Fair valuation of path-dependent participating life insurance contracts.
- Title not available (Why is that?)
Cited In (37)
- Policy characteristics and stakeholder returns in participating life insurance: which contracts can lead to a win-win?
- A new approach for satisfactory pensions with no guarantees
- Insurance guaranty premiums and exchange options
- An analysis of transaction costs in participating life insurance under mean-variance preferences
- Risk measure and fair valuation of an investment guarantee in life insurance
- A general asset-liability management model for the efficient simulation of portfolios of life insurance policies
- Risk analysis and valuation of life insurance contracts: combining actuarial and financial approaches
- The benefit of life insurance contracts with capped index participation when stock prices are subject to jump risk
- Analyzing the effect of low interest rates on the surplus participation of life insurance policies with different annual interest rate guarantees
- Optimal investment strategies for participating contracts
- A utility-based comparison of pension funds and life insurance companies under regulatory constraints
- Cross-subsidizing effects between existing and new policyholders in traditional life insurance
- On the management of life insurance company risk by strategic choice of product mix, investment strategy and surplus appropriation schemes
- Interest guarantees and model risk in life insurance
- On pricing and reserving with-profits life insurance contracts
- Accounting and actuarial smoothing of retirement payouts in participating life annuities
- Estimation of future discretionary benefits in traditional life insurance
- Title not available (Why is that?)
- Long-term stability of a life insurer's balance sheet
- A performance analysis of participating life insurance contracts
- How sensitive is the pricing of lookback and interest rate guarantees when changing the modelling assumptions?
- Quantitative assessment of common practice procedures in the fair evaluation of embedded options in insurance contracts
- Analyzing surplus appropriation schemes in participating life insurance from the insurer's and the policyholder's perspective
- Valuing the profit share in participating pure-endowment policies with return of premiums
- Risk comparison of different bonus distribution approaches in participating life insurance
- Title not available (Why is that?)
- Protection of a company issuing a certain class of participating policies in a complete market framework
- Risk-neutral valuation of participating life insurance contracts
- Asset management and surplus distribution strategies in life insurance: An examination with respect to risk pricing and risk measurement
- Managing reputational risk in the decumulation phase of a pension fund
- Surplus participation schemes for life annuities under Solvency II
- Unisex pricing of German participating life annuities -- boon or bane for customer and insurance company?
- Fair valuation of insurance contracts under Lévy process specifications
- The value of interest rate guarantees in participating life insurance contracts: status quo and alternative product design
- Allowance for surplus funds under Solvency II: adequate reflection of risk sharing between policyholders and shareholders in a risk-based solvency framework?
- Runoff or redesign? Alternative guarantees and new business strategies for participating life insurance
- Risk-neutral valuation of participating life insurance contracts in a stochastic interest rate environment
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