We analyze minimum rate of return guarantees for life insurance (investment) contracts and pension plans with L smooth surplus distribution mechanism. We specifically model the smoothing mechanism used by most Danish life insurance companies and pension funds...

Annual minimum rate of return guarantees are analyzed together with rules: for the distribution of excess return, i.e., annual return above the guarantee. The set of, in a specific sense, fair contracts is charactcrizcd with and without a bonus account consisting of accumulated...