Interest rate guarantees seem to be included in lifeinsurance and pension products in most countries. The exact implementations of these guarantees vary from country to countryand are often linked to different distribution of investment surplusmechanisms...

We analyze minimum rate of return guarantees for life insurance (investment) contracts and pension plans with L smooth surplus distribution mechanism. We specifically model the smoothing mechanism used by most Danish life insurance companies and pension funds...

Annual minimum rate of return guarantees are analyzed together with rules: for the distribution of excess return, i.e., annual return above the guarantee. The set of, in a specific sense, fair contracts is charactcrizcd with and without a bonus account consisting of accumulated...

An equity-linked life insurance contract combines an endowment life insurance and an investment strategy with a minimum guarantee. The benefit of this contract is determined by the guaranteed amount plus a bonus equal to a call on the portfolio. This bonus is similar to an Asian option. We...