This paper analyzes the numerical impact of different surplus distribution mechanisms on the risk exposure of a life insurance company selling with profit life insurance policies with a cliquet-style interest rate guarantee. Three representative companies are considered, each using a different...

Many insurers disclose Embedded Value reports, a 'capital market-consistent' valuation framework for their life insurance business, to provide investors with additional information. We examine the incremental and relative information content of Embedded Value components in comparison to the...

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...

This paper analyzes the numerical impact of different surplus distribution mechanisms on the risk exposure of a life insurance company selling with profit life insurance policies with a cliquet-style interest rate guarantee. Three representative companies are considered, each using a different...

The regulatory regime in Europe is undergoing a fundamental change that will serve as a benchmark for the regulators of other countries. This paper analyzes the influence of regulation imposed by Solvency II on life catastrophe risk management activities. The interplay of extreme mortality risks...