Abstract. We develop a new class of utility functions, SAHARA utility, with the dis-tinguishing feature that they implement the assumption that agents may become lessrisk-averse for very low values of wealth. This means that SAHARA utility can be usedto characterize risk gambling behavior of an...

The present paper investigates the net loss of a life insurance company issuing equity-linked pure endowments in the case of periodic premiums. Due to the untradability of the insurance risk which affects both the in- and outflow side of the company, the issued insurance claims cannot be hedged...

This paper analyzes and discusses the effects of model misspecificationassociated with both interest rate and mortality risk on the hedging decisions ofinsurance companies. We consider hedging strategies in different instruments (zerobonds) which are risk–(variance–)minimizing with respect...

This paper analyzes how model misspecification associated with both interest rate and mortality risk influences hedging decisions of insurance companies. For this purpose, diverse risk management strategies which are riskminimizing when model risk is ignored come into consideration. The...