In this paper, we consider the net loss of a life insurance company issuing identical equity-linked pure endowment contracts in the case of periodic premiums. Under this construction, financial risks as well as the mortality risk are included. Based on Møller (1998), we particularly investigate...

With the gradual deepening of aging, the medical and pension problems of the half-disabled and disabled elderly will become increasingly prominent. Policymakers, academics, and the public at large shed extensive concerns about the cost of aging societies. Although long-term care (LTC) insurance...

The purpose of this paper is to conduct a market-consistent valuation of life insurance participating liabilities sold to a population of partially heterogeneous customers under the joint impact of biometric and financial risk. In particular, the heterogeneity between groups of policyholders...

Developed countries apply different security mechanisms in regulation to protect pension benefits: solvency requirements, a pension guarantee fund, and sponsor support. We compare these mechanisms for a generalized form of hybrid pension schemes. We calculate the expected log return for the...

Developed countries apply different security mechanisms in regulation to protect defined pension benefits: solvency requirements, a pension guarantee fund, and sponsor support. We test the performance of these mechanisms in terms of the protection offered to pension benefits in relation to the...