Most life insurance contracts embed the right to stop premium payments during the term of the contract (paid-up option). Thereby, the contract is not terminated but continues with reduced benefits and often provides the right to resume premium payments later, thus increasing the previously...

Life insurers often claim that the life settlement industry reduces their surrender profits and leads to an adverse shift in their portfolio of insured risks; that is, high risks remain in the portfolio instead of surrendering. In this article, we aim to quantify the effect of altered surrender...

Fair pricing of embedded options in life insurance contracts is usually conducted by using risk-neutral valuation. This pricing framework assumes a perfect hedging strategy, which insurance companies can hardly pursue in practice. In this article, we extend the risk-neutral valuation concept...

type="main" xml:lang="en" <title type="main">Abstract</title> <p>The purchase of index-linked alternative risk transfer instruments can lead to basis risk, if the insurer's loss is not fully dependent on the index. One way to reduce basis risk is to additionally purchase gap insurance, which fills the gap between an...</p>

type="main" xml:lang="en" <title type="main">Abstract</title> <p>Operational risk can substantially impact an insurer's risk situation and is now increasingly in the focus of insurance companies, especially due to new European risk-based regulatory framework Solvency II. The aim of this article is to model and examine the...</p>

type="main" xml:lang="en" <title type="main">Abstract</title> <p>Mortality risk is a key risk factor for life insurance companies and can have a crucial impact on its risk situation. In general, mortality risk can be divided into different subcategories, among them unsystematic risk, adverse selection, and systematic risk....</p>

In their 2001 "Journal of Risk and Insurance" article, Stewart C. Myers and James A. Read Jr. propose to use a specific capital allocation method for pricing insurance contracts. We show that in their model framework no capital allocation to lines of business is needed for pricing insurance...