Many equity-linked life insurance products offer the possibility to surrender policies prematurely. Secondary markets for policies with surrender guarantees influence both policyholders and insurers. We show that insurers increase premiums to adjust for higher surrender rates of customers and...

We develop a two-state regime-switching rational expectation model with the economic states recession and expansion for the valuation of equity-linked life insurance contracts with surrender guarantees. Our valuation model jointly captures the empirically observed macroeconomical...

We introduce a refined tree method to compute option prices using the stochastic volatility model of Heston. In a first step, we model the stock and variance process as two separate trees and with transition probabilities obtained by matching marginal tree moments up to order two against the...

We study the valuation and hedging of unit-linked life insurance contracts in a setting where mortality intensity is governed by a stochastic process. We focus on model risk arising from different specifications for the mortality intensity. To do so we assume that the mortality intensity is...

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...

We consider a highly-qualified individual with respect to her choice between two distinct career paths. She can choose between a mid-level management position in a large company and an executive position within a smaller listed company with the possibility to directly affect the company’s...

Dieses Buch behandelt die Frage, wie mit Blick auf die Veränderungen des Arbeitsmarktes die Erwerbstätigkeit von Frauen und Älteren erleichtert werden kann. Die demographische Entwicklung führt dazu, daß das durchschnittliche Alter der Arbeitskräfte steigt und sich das...