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Optimal asset allocation in life insurance : the impact of regulation

Chen, An; Hieber, Peter - In: Astin bulletin : the journal of the International … 46 (2016) 3, pp. 605-626

Persistent link: https://www.econbiz.de/10011669744

Aggregation of 1-year risks in life and disability insurance

Djehiche, Boualem; Löfdahl, Björn - In: Annals of actuarial science : publ. by the Institute of … 10 (2016) 2, pp. 203-221

Persistent link: https://www.econbiz.de/10011620750

Life insurance convexity

Kubitza, Christian; Grochola, Nicolaus; Gründl, Helmut - 2021

Life insurers massively sell savings contracts with surrender options which allow policyholders to withdraw a … insurers, we estimate that a 1 percentage point increase in interest rates raises surrender rates by 17 basis points. We … quantify the resulting liquidity risk in a calibrated model of surrender decisions and insurance cash flows. Simulations …

Persistent link: https://www.econbiz.de/10012671837

Decomposing dynamic risks into risk components

Schilling, Katja; Bauer, Daniel - In: Management science : journal of the Institute for … 66 (2020) 12, pp. 5738-5756

Persistent link: https://www.econbiz.de/10012391415

Immunization strategies for funding multiple inflation-linked retirement income benefits

Simões, Cláudia; Oliveira, Luís; Bravo, Jorge Miguel … - In: Risks : open access journal 9 (2021) 4, pp. 1-28

Protecting against unexpected yield curve, inflation, and longevity shifts are some of the most critical issues institutional and private investors must solve when managing post-retirement income benefits. This paper empirically investigates the performance of alternative immunization strategies...

Persistent link: https://www.econbiz.de/10012508594

Genetics, insurance and hypertrophic cardiomyopathy

Haçarız, Oytun; Kleinow, Torsten; Macdonald, Angus - In: Scandinavian actuarial journal 2021 (2021) 1, pp. 54-81

Persistent link: https://www.econbiz.de/10012484030

Investigating household choice for health and life insurance

Kumar, Ashish - In: Applied economics letters 26 (2019) 4, pp. 267-273

Persistent link: https://www.econbiz.de/10012204184

Regulatory capital and asset risk transfer

Kim, Kyeonghee; Leverty, J. Tyler; Schmit, Joan Therese - In: The journal of risk & insurance 90 (2023) 4, pp. 1027-1061

Persistent link: https://www.econbiz.de/10014443644

Life insurance convexity

Kubitza, Christian; Grochola, Nicolaus; Gründl, Helmut - 2022 - This version: March 22, 2022

Life insurers sell savings contracts with surrender options, allowing policyholders to prematurely withdraw guaranteed … surrender values. Surrender options move toward the money when interest rates rise. Hence, higher interest rates raise surrender … rates, as we document for the German life insurance sector. Using a calibrated model, we estimate that surrender options …

Persistent link: https://www.econbiz.de/10013175693

The effects of a low interest rate environment on life insurers

Berdin, Elia; Gründl, Helmut - 2014 - This version: July 2014

Low interest rates are becoming a threat to the stability of the life insurance industry, especially in countries such as Germany, where products with relatively high guaranteed returns sold in the past still represent a prominent share of the total portfolio. This contribution aims to assess...

Persistent link: https://www.econbiz.de/10010390203