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Uncertain bequest needs and long-term Insurance contracts
Fei, Wenan; Fluet, Claude; Schlesinger, Harris - 2008
We examine how long-term life insurance contracts can be designed to incorporate uncertain future bequest needs. An individual who buys a life insurance contract early in life is often uncertain about the future financial needs of his or her family, in the event of an untimely death. Ideally,...
Persistent link: https://www.econbiz.de/10010264521
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Stochastic mortality, macroeconomic risks, and life insurer solvency
Hanewald, Katja; Post, Thomas; Gründl, Helmut - 2009
Motivated by a recent demographic study establishing a link between macroeconomic fluctuations and the mortality index kt in the Lee-Carter model, we assess the impact of macroeconomic fluctuations on the solvency of a life insurance company. Liabilities in our stochastic simulation framework...
Persistent link: https://www.econbiz.de/10010265671
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The Risk Management of Minimum Return Guarantees
Mahayni, Antje; Schlögl, Erik - 2003
, is the risk management of the embedded options by a tractable and realistic hedging strategy. The long maturity of life …
Persistent link: https://www.econbiz.de/10010263089
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The Uncertain Mortality Intensity Framework: Pricing and Hedging Unit-Linked Life Insurance Contracts
Li, Jing; Szimayer, Alexander - 2010
We study the valuation and hedging of unit-linked life insurance contracts in a setting where mortality intensity is …. We also show that the induced hedging strategies indeed produce a dynamic superhedge and subhedge under the statistical … by finite difference methods. For our contracts and choice of parameters the pricing and hedging is fairly robust with …
Persistent link: https://www.econbiz.de/10010270425
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Individual welfare gains from deferred life-annuities under stochastic Lee-Carter mortality
Post, Thomas - 2009
A deferred annuity typically includes an option-like right for the policyholder. At the end of the deferment period, he may either choose to receive annuity payouts, calculated based on a mortality table agreed to at contract inception, or receive the accumulated capital as a lump sum....
Persistent link: https://www.econbiz.de/10010263765
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The effect of policyholders' rationality on unit-linked life insurance contracts with surrender guarantees
Li, Jing; Szimayer, Alexander - 2010
We study the valuation of unit-linked life insurance contracts with surrender guarantees. Instead of solving an optimal stopping problem, we propose a more realistic approach accounting for policyholders’ rationality in exercising their surrender option. The valuation is conducted at the...
Persistent link: https://www.econbiz.de/10010293371
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Interest rate risk, longevity risk and the solvency of life insurers
Berdin, Elia - 2016
In this paper I assess the effect of interest rate risk and longevity risk on the solvency position of a life insurer selling policies with minimum guaranteed rate of return, profit participation and annuitization option at maturity. The life insurer is assumed to be based in Germany and...
Persistent link: https://www.econbiz.de/10011539415
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Interest rate risk of life insurers: Evidence from accounting data
Möhlmann, Axel - 2017
Life insurers are exposed to interest rate risk, and their liability side is typically more sensitive to interest rate changes than their asset side. This paper develops an accounting-based measure of interest rate sensitivity. My approach uses the coexistence of historical cost and market value...
Persistent link: https://www.econbiz.de/10011649426
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Lethal lapses: How a positive interest rate shock might stress German life insurers
Feodoria, Mark; Förstemann, Till - 2015
Life insurers typically grant policyholders a surrender option. We demonstrate that the resulting lapse risk could materialise in the form of a "policyholder run" if interest rates were to increase sharply. An inverse stress test based on a unique set of regulatory panel data suggests that...
Persistent link: https://www.econbiz.de/10011286344
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Recent competition in the Japanese life insurance industry
Souma, Toshiyuki; Tsutsui, Yoshiro - 2005
This paper examines a change in the level of competition in the Japanese life insurance industry over the last 17 years. We estimate the first order condition for profit-maximizing insurance oligopolies to obtain the degree of non-competition and collusion. Estimation results suggest that: 1)...
Persistent link: https://www.econbiz.de/10010332256