We establish a model of insurance pricing with the assumption that the insurance price, insurer investment returns, and insured losses are correlated stochastic processes. We consider the effect of demand on price where the objective of the pricing model is to maximize the expected utility of...

In der vorliegenden Studie wird das Pricing aktiengebundener Lebensversicherungen mit Mindestgarantiezins in einem Gleichgewichtsmodell untersucht. Dazu werden Modelle zur Berechnung der Default-Option und der Ausfallwahrscheinlichkeiten eingeführt. Die Modelle binden Angebot- und...

In this paper, we study the determination of optimal retirement age, optimal leisure time, and optimal consumption, and we also analyze their relationships using an optimal control theory. We establish a life cycle model and analyze the factors of consumption, leisure, saving, mortality and...

We study pricing models for a participating deferred annuity. Game theory is used to formulate different pricing models based on customers’ preference concerning benefits and risks. The objective is to maximize social welfare. Value at Risk (VaR) under multi-stage stochastic processes is...

This paper examines the pricing of term life insurance based on the economic approach of profit maximization, and incorporating the financial approach of stochastic interest rates, investment returns, and the insolvency option, while also including actuarial modeling of mortality risk. Optimal...

China has experienced significant improvement in longevity (commonly referred to as mortality improvement) since the late 1930s. The rate of mortality improvement has been faster than in most developed countries. This development has resulted in a great challenge to provide retirement income to...

In this article, a process for deciding whether a life insurance contract should be reinstated is proposed. The present values of net premium of two alternatives are calculated and compared. Our analysis shows that reinstatement of the original policy is not always beneficial. When the holding...

In this paper, we present alternative pricing models of deposit insurance under capital forbearance. The investment behavior of deposit insurance companies and moral hazard of banks are considered and numerical analysis is carried out. We find that If the premium rate reflects forecasting...

Life and disability insurance, as well as annuities, traditionally have been analyzed as products providing protection against random losses. This article proposes that these products can be viewed as derivative instruments created to address the uncertainties and inadequacies of an...

Pillar 1 of the U.S. retirement system is the Social Security system. It is both the largest social insurance system in the world and an important instrument of public policy. It provides universal retirement benefits based on wage history, and the number of years of service (up to 35 years). It...