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In this paper, we analyse and construct a lifetime utility maximisation model with hyperbolic discounting. Within the model, a number of assumptions are made: complete markets, actuarially fair life insurance/annuity is available, and investors have time-dependent preferences. Time dependent...
Persistent link: https://www.econbiz.de/10011866415
We explored the effect of the jump-diffusion process on a social benefit scheme consisting of life insurance, unemployment/disability benefits, and retirement benefits. To do so, we used a four-state Markov chain with multiple decrements. Assuming independent state-wise intensities taking the...
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This paper examines the relationship between insurance and economic growth in 20 countries for the period 2006–2015. Insurance activity is measured through three distinctive proxies such as net written premiums, penetration and density. The Hausman statistics confirmed that fixed effect model...
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characteristics of tontinists. Therefore, the surrender decision of single tontinists directly affects the remaining members' payouts …. Nevertheless, the opportunity to surrender is crucial to the success of a tontine from a regulatory as well as a policyholder … perspective. Therefore, this paper derives the fair surrender value of a tontine, first on the basis of expected values, and then …
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