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...

The topic of insolvency risk in connection with life insurance companies has recently attracted a great deal of attention. In this paper, the question is investigated of how the value of the equity and of the liability of a life insurance company are affected by the default risk and the choice...

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...

In this study, we use advance tax rulings (ATR) to investigate the impact of fee-based tax certainty on risky investment decisions of a firm under both cash flow and tax uncertainty. We model and analyze the multi-dimensional nature of tax uncertainty from tax reforms and tax audits in expected...

This paper investigates the consumption and investment decisions of an individual facing uncertain lifespan and stochastic labor income within a Black-Scholes market framework, A key aspect of our study involves the agent's option to choose when to acquire life insurance for bequest purposes, We...

It is typical in collectively administered pension funds that employees delegate fund managers to invest their contributions. In addition, many pension funds still need to sustain guarantees (prescribed by law) in spite of the current low interest environment. In this paper, we consider an...

We analyze the newly introduced German occupational pension scheme called target pension (“Zielrente”), which links the beneficiaries’ benefits during the retirement phase to the mortality experienced among the pension beneficiaries and the performance of the financial market, from a...

This paper compares two different types of private retirement plans from the perspective of a representative beneficiary: a defined benefit (DB) and a defined contribution (DC) plan. While salary risk is the main common risk factor in DB and DC pension plans, one of the key differences is that...

The topic of insolvency risk in connection with life insurance companies has recently attracted a great deal of attention. In this paper, the question is investigated of how the value of the equity and of the liability of a life insurance company are affected by the default risk and the choice...