Berry-Stolzle, Thomas R.; Klaver, Hendrik; Qui, Shen - In: Journal of Insurance Issues 34 (2011) 1, pp. 34-67
This paper investigates the impact of a life insurer’s liability structure on its incentives to invest in hedge funds. The analysis is based on a simulation model of a life insurance company selling with-profit life insurance policies with cliquet-style interest rate guarantees. The insurer...