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Persistent link: https://www.econbiz.de/10012585987
We study a classical continuous-time consumption-investment problem of a power utility investor with deterministic labor income with the important feature that the consumption-investment process is constrained to be deterministic. This is motivated by the design of modern pension schemes of...
Persistent link: https://www.econbiz.de/10013006602
Premiums and benefi ts associated with traditional life insurance contracts are usually specifi ed as fi xed amounts in policy conditions. However, reserve-dependent surrender values and reserve-dependent expenses are common in insurance practice. The famous Cantelli theorem in life insurance...
Persistent link: https://www.econbiz.de/10013057722
Persistent link: https://www.econbiz.de/10010358048
Premiums and benefits associated with traditional life insurance contracts are usually specified as fixed amounts in policy conditions. However, reserve-dependent surrender values and reserve-dependent expenses are common in insurance practice. The famous Cantelli theorem in life insurance...
Persistent link: https://www.econbiz.de/10010399682
Persistent link: https://www.econbiz.de/10010410068
We derive worst-case scenarios in the case where the interest rate and the various transition intensities in a life insurance model are mutually dependent. Examples of this dependence are that surrender intensities and interest rates are high at the same time, that mortality intensities of a...
Persistent link: https://www.econbiz.de/10013056301
In the actuarial literature, it has become common practice to model future capital returns and mortality rates stochastically in order to capture market risk and forecasting risk. Although interest rates often should and mortality rates always have to be non-negative, many authors use stochastic...
Persistent link: https://www.econbiz.de/10010421278
Premiums and benefits associated with traditional life insurance contracts are usually specified as fixed amounts in policy conditions. However, reserve-dependent surrender values and reserve-dependent expenses are common in insurance practice. The famous Cantelli theorem in life insurance...
Persistent link: https://www.econbiz.de/10010491341
Forward transition rates were originally introduced with the aim to evaluate life insurance liabilities market-consistently. While this idea turned out to have its limitations, recent literature repurposes forward transition rates as a tool for avoiding Markov assumptions in the calculation of...
Persistent link: https://www.econbiz.de/10015209982