Purpose: The purpose of this paper is to show how an insurance company can maximize the policyholder’s utility by setting the level of the interest rate guarantee in line with his preferences. Design/methodology/approach: The authors develop a general model of life insurance, taking...

Purpose: The purpose of this paper is to determine optimal pooling strategies from the perspective of an insurer's shareholders underlying a default probability driven premium loading and convex price-demand functions. Design/methodology/approach: The authors use an option pricing framework for...