The paper analyzes one of the most common life insurance products --the so-called participating (or 'with profits') policy. This type of contract stands in contrast to Unit-Linked (UL) products in that interest is credited to the policy periodically according to some mechanism which smoothes...

Over the last decade the Danish corporate environment has experienced a significant increase in the use of option-based compensation (OBC). This and many other facts are documented in the present paper which provides the first insights into the characteristics of the option and warrant contracts...

Interest rate guarantees are important elements of many financial contracts offered in today's financial markets. For example, life insurance policies often contain an explicit interest rate guarantee that ensures the investor a certain minimum return during some specified period. Sometimes the...

This paper sets up a model for the valuation of traditional participating life insurance policies. These claims are characterized by their explicit interest rate guarantees and by various embedded option elements, such as bonus and surrender options. Owing to the structure of these contracts,...

This paper takes a contingent claim approach to the market valuation of equity and liabilities in life insurance companies. A model is presented which explicitly takes into account the facts that the holders of life insurance contracts (LICs) have the first claim on the company’s assets...

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The aim of this paper is to analyze the impact of management’s strategic choice of asset and liability composition in life insurance on shortfall risk and the shareholders’ fair risk charge. In contrast to previous work, we focus on the effectiveness of management decisions regarding the...