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Annuities, long-term care insurance, and insurer solvency
Glenzer, Franca; Achou, Bertrand - In: The Geneva papers on risk and insurance - issues and … 44 (2019) 2, pp. 252-276
Persistent link: https://www.econbiz.de/10012293476
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The investigation of a forward-rate mortality framework
Alai, Daniel H.; Ignatieva, Ekaterina; Sherris, Michael - In: Risks : open access journal 7 (2019) 2/61, pp. 1-22
Stochastic mortality models have been developed for a range of applications from demographic projections to financial management. Financial risk based models built on methods used for interest rates and apply these to mortality rates. They have the advantage of being applied to financial pricing...
Persistent link: https://www.econbiz.de/10012018993
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Pricing of longevity derivatives and cost of capital
Zeddouk, Fadoua; Devolder, Pierre - In: Risks : open access journal 7 (2019) 2/41, pp. 1-29
Annuities providers become more and more exposed to longevity risk due to the increase in life expectancy. To hedge this risk, new longevity derivatives have been proposed (longevity bonds, q-forwards, S-swaps…). Although academic researchers, policy makers and practitioners have talked about...
Persistent link: https://www.econbiz.de/10012019297
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Rising interest rates, lapse risk, and the stability of life insurers
Kubitza, Christian - In: Essays on financial stability and insurance markets, (pp. 85-157). 2018
Persistent link: https://www.econbiz.de/10012055955
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Modelling mortality dependence with regime-switching copulas
Rui, Zhou - In: Astin bulletin : the journal of the International … 49 (2019) 2, pp. 373-407
Persistent link: https://www.econbiz.de/10012056596
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The effects of risk aversion on life insurance ownership of single-parent households
Nam, Youngwon; Hanna, Sherman - In: Applied economics letters 26 (2019) 15, pp. 1285-1288
Persistent link: https://www.econbiz.de/10012204725
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The Effect of Risk Aversion and Loss Aversion on Equity-Linked Life Insurance With Surrender Guarantees
Hilpert, Christian - 2016
This paper values equity-linked life insurance contracts with surrender guarantees for risk averse and loss averse … policyholders in continuous time. With increasing risk aversion, policyholders surrender their insurances for higher values of the … discounting amplifies suboptimal surrender behavior. Loss averse policyholders display a different surrender behavior: Such …
Persistent link: https://www.econbiz.de/10012994419
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Insuring Longevity Risk and Long-Term Care : Bequest, Housing and Liquidity
Xu, Mengyi; Alonso-García, Jennifer; Sherris, Michael; … - 2022
We study the impact of housing wealth and individual preferences on demand for annuities and long-term care insurance (LTCI). We build a multi-state lifecycle model that includes longevity risk and health shocks. The preference is represented by a recursive utility function that separates risk...
Persistent link: https://www.econbiz.de/10013297282
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Asymmetric Information and Longevity Risk Transfer
Chen, An; Li, Hong; Schultze, Mark - 2022
This paper proposes a principal-agent framework to study the optimal transfer of longevity risk between a reinsurer and a hedger under information asymmetry. Most hedgers in the real world have rather small portfolios which are hard to be accurately estimated by the reinsurer. Using indemnity...
Persistent link: https://www.econbiz.de/10013302009