Hoermann, Gudrun; Russ, Jochen - Institut für Versicherungswirtschaft <Sankt Gallen> - 2008
We analyze the effect of enhanced annuities on an insurer engaging in individualunderwriting. We use a frailty model for the heterogeneity of the insured populationand model the individual underwriting by a random variable that positivelycorrelates with the corresponding frailty factor. For a...