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...

type="main" xml:lang="en" <title type="main">Abstract</title> <p>In this article, we conduct an in-depth analysis of the impact of private equity investments on the capital requirements faced by a representative life insurance company under Solvency II as well as the Swiss Solvency Test. Our discussion begins with an...</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...

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>