Select Products are equity-linked life insurances with investment guarantee in the German market which – in contrast to typical guaranteed equity-linked products – are constructed by using a traditional life insurance contract and suitably leveraging the annual surplus distribution. In this...

Traditional life insurance policies in many markets are sold with minimum interest rate guarantees. This paper concentrates on the risk cliquet-style guarantees impose on the insurer, measured by shortfall probabilities under the so-called “real-world probability measure P”. We develop a...

In this paper we analyze the attractiveness of a so called "mortality swap", which combines an immediate annuity and a whole life insurance contract, in the German insurance market. The analysis follows a methodology introduced by Charupat and Milevsky (2001). Using theoretical products based on...