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Uncertain bequest needs and long-term Insurance contracts

Fei, Wenan; Fluet, Claude; Schlesinger, Harris - 2008

We examine how long-term life insurance contracts can be designed to incorporate uncertain future bequest needs. An individual who buys a life insurance contract early in life is often uncertain about the future financial needs of his or her family, in the event of an untimely death. Ideally,...

Persistent link: https://www.econbiz.de/10010264521

Stochastic mortality, macroeconomic risks, and life insurer solvency

Hanewald, Katja; Post, Thomas; Gründl, Helmut - 2009

Motivated by a recent demographic study establishing a link between macroeconomic fluctuations and the mortality index kt in the Lee-Carter model, we assess the impact of macroeconomic fluctuations on the solvency of a life insurance company. Liabilities in our stochastic simulation framework...

Persistent link: https://www.econbiz.de/10010265671

The Risk Management of Minimum Return Guarantees

Mahayni, Antje; Schlögl, Erik - 2003

, is the risk management of the embedded options by a tractable and realistic hedging strategy. The long maturity of life …

Persistent link: https://www.econbiz.de/10010263089

The Uncertain Mortality Intensity Framework: Pricing and Hedging Unit-Linked Life Insurance Contracts

Li, Jing; Szimayer, Alexander - 2010

We study the valuation and hedging of unit-linked life insurance contracts in a setting where mortality intensity is …. We also show that the induced hedging strategies indeed produce a dynamic superhedge and subhedge under the statistical … by finite difference methods. For our contracts and choice of parameters the pricing and hedging is fairly robust with …

Persistent link: https://www.econbiz.de/10010270425

Individual welfare gains from deferred life-annuities under stochastic Lee-Carter mortality

Post, Thomas - 2009

A deferred annuity typically includes an option-like right for the policyholder. At the end of the deferment period, he may either choose to receive annuity payouts, calculated based on a mortality table agreed to at contract inception, or receive the accumulated capital as a lump sum....

Persistent link: https://www.econbiz.de/10010263765

The effect of policyholders' rationality on unit-linked life insurance contracts with surrender guarantees

Li, Jing; Szimayer, Alexander - 2010

We study the valuation of unit-linked life insurance contracts with surrender guarantees. Instead of solving an optimal stopping problem, we propose a more realistic approach accounting for policyholders’ rationality in exercising their surrender option. The valuation is conducted at the...

Persistent link: https://www.econbiz.de/10010293371

The influence of negative interest rates on life insurance companies

Grochola, Nicolaus - 2023

Between 2016 and 2022, life insurers in several European countries experienced negative longterm interest rates, which put pressure on their business models. The aim of this paper is to empirically investigate the impact of negative interest rates on the stock performance of life insurers. To...

Persistent link: https://www.econbiz.de/10014431714

Identification of differences between group and individual life insurance for employees

Piechota, Anna Maria - In: Economic and Environmental Studies (E&ES) 19 (2019) 2, pp. 211-221

Group life insurance for employees is one of numerous voluntary insurance products covering employees' personal risks. It can be an important complement to mandatory insurance arrangements (especially social insurance schemes) that provide personal coverage for workers. While employees may take...

Persistent link: https://www.econbiz.de/10014485852

Valoración de un seguro de vida mediante opciones exóticas

Pesce, Gabriela; Milanesi, Gastón; El Alabi, Emilio; … - In: Revista de Métodos Cuantitativos para la Economía y … 32 (2021), pp. 214-240

This paper presents the analysis and valuation of an individual, temporary, and leveled-prime life insurance. It starting point is an analogy between contract rules and a financial exotic option. In particular, a cash or nothing option. Several cases are presented from a person with different...

Persistent link: https://www.econbiz.de/10014494439

Interaction effects between dynamic hybrid products and traditional deferred annuities in the German life insurance market

Moretti, Nikolaj; Bartels, Johannes - In: Financial Markets and Portfolio Management 35 (2021) 2, pp. 193-224

Dynamic hybrid products emerged in 2007 and are now well established in the German life insurance market. In this article, we study interaction effects between dynamic hybrid products and traditional deferred annuity contracts, that are sold by the same insurance company. The key question we...

Persistent link: https://www.econbiz.de/10014502055