In this paper, we analyze traditional (i.e. not unit-linked) participating life insurance contracts with a guaranteed interest rate and surplus participation. We consider three different surplus distribution models and an asset allocation that consists of money market, bonds with different...

In this paper we analyze the attractiveness of a so called mortality swap, which combines an immediate annuity and a whole life insurance contract, in the German insurance market. The analysis follows a methodology introduced by Charupat and Milevsky (2001). Using theoretical products based on...

For annuity providers, longevity risk, i.e. the risk that future mortality trends differ from those anticipated, constitutes an important risk factor. In order to manage this risk, new financial products, so-called longevity derivatives, may be needed, even though a first attempt to issue a...

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...

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 paper 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...