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manage systematic mortality risks, namely self-insurance and risk transfer to purchasers of the annuity products. We … demonstrate that self-insurance leads to high loadings, so that households offered a choice would favor the risk transfer scheme …
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We formulate a decision model that accommodates correlation ambiguity between the insurer’s surplus and stock return processes and study its implications for the insurer’s asset allocation rule. The ambiguity-averse insurer invests more conservatively in the stock compared to an otherwise...
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manage systematic mortality risks, namely self-insurance and risk transfer to purchasers of the annuity products. We … demonstrate that self-insurance leads to high loadings, so that households offered a choice would favor the risk transfer scheme …
Persistent link: https://www.econbiz.de/10012461152
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