Purpose The authors consider the mutual benefits of the ceding company and reinsurance company in the design of reinsurance contracts. Two objective functions to maximize social expected utilities are established, which are to maximize the sum of the expected utilities of both the ceding company...

In this paper, we discuss how to determine the optimal investment portfolio and reinsurance strategy of insurance company based on zero-sum stochastic differential game between the market and the insurer. We extend Zhang and Siu (2009)’s model by (1) including a risk-free asset, (2)...

This paper examines the pricing of equity-linked life insurance including a minimuminterest rate guarantee in a partial equilibrium framework. The models for calculatingdefault option values and default probability are established. Those models integratesupply and demand considerations,...

In der vorliegenden Studie wird das Pricing aktiengebundener Lebensversicherungen mit Mindestgarantiezins in einem Gleichgewichtsmodell untersucht. Dazu werden Modelle zur Berechnung der Default-Option und der Ausfallwahrscheinlichkeiten eingeführt. Die Modelle binden Angebot- und...

In this paper, we present alternative pricing models of deposit insurance under capital forbearance. The investment behavior of deposit insurance companies and moral hazard of banks are considered and numerical analysis is carried out. We find that If the premium rate reflects forecasting...

In der vorliegenden Studie wird das Pricing aktiengebundener Lebensversicherungen mit Mindestgarantiezins in einem Gleichgewichtsmodell untersucht. Dazu werden Modelle zur Berechnung der Default-Option und der Ausfallwahrscheinlichkeiten eingeführt. Die Modelle binden Angebot- und...

In this paper, we study the determination of optimal retirement age, optimal leisure time, and optimal consumption, and we also analyze their relationships using an optimal control theory. We establish a life cycle model and analyze the factors of consumption, leisure, saving, mortality and...

We establish a model of insurance pricing with the assumption that the insurance price, insurer investment returns, and insured losses are correlated stochastic processes. We consider the effect of demand on price where the objective of the pricing model is to maximize the expected utility of...