Enhanced annuities and the impact of individual underwriting on an insurer's profit situation
We analyze the effect of enhanced annuities on an insurer engaging in individual underwriting. We use a frailty model for heterogeneity of the insured population and model individual underwriting by a random variable that positively correlates with the corresponding frailty factor. For a given annuity portfolio, we analyze the effect of the quality of the underwriting on the insurer's profit/loss situation and the impact of adverse selection effects.
Year of publication: |
2008
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Authors: | Hoermann, Gudrun ; Ruß, Jochen |
Published in: |
Insurance: Mathematics and Economics. - Elsevier, ISSN 0167-6687. - Vol. 43.2008, 1, p. 150-157
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Publisher: |
Elsevier |
Saved in:
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