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...

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...

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...

This paper studies life reinsurance as a solution to default risk in equity-linked life insurance products with surplus participation. The problem is considered under both perfect and asymmetric information about the insurer’s risk profile between the reinsurer and the insurer. In both cases,...

We build a simple economic model of optimal casualty insurance based on a story about insuring a house. With endogenous repair and a securities market that is complete over states distinguished by security payoffs, we have three main findings in our base model with additively separable...

In contrast to insurance companies, regulatory authorities or regulators can obtain only limited information about the companies' value. It hence leads to some effects on the regulation design, which is however often overlooked in the literature. This paper characterizes the limited/imperfect...

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 pension...

This paper proposes an innovative retirement product with a focus on longevity risk sharing, a contract we refer to as tail index-linked annuity (TILA). Specifically, the proposed TILA pays out variable annual payments, which will be equal to a regular nominal amount when a reference survival...