We analyze the effect of enhanced annuities on an insurer engaging in individual underwriting. We use a frailty model for heterogeneity of the insured population and model individual underwriting by a random variable that positively correlates with the corresponding frailty factor. For a given...

This article analyzes the numerical impact of different surplus distribution mechanisms on the risk exposure of a life insurance company selling with profit life insurance policies with a cliquet-style interest rate guarantee. Three representative companies are considered, each using a different...