Life insurers typically grant policyholders a surrender option. We demonstrate that the resulting lapse risk could …

Life insurers typically grant policyholders a surrender option. We demonstrate that the resulting lapse risk could …

different risk preferences and measure efficiency with a structural model based on utility maximization. Using the almost ideal … demand system, we estimate input and profit demand functions to obtain proxies for expected return and risk. Efficiency is … then measured in this risk-return space. Mean risk-return efficiency is somewhat higher than cost and considerably higher …

decline. While participating contracts embedding these guarantees are designed to share market risk across investor cohorts … when guarantees are not binding, we study how binding guarantees distort inter-cohort risk sharing. Using regulatory data …

Pension accruals are linked to several risks for companies. In this paper we discuss two risk factors, taking pension …

the credit portfolio risk profile of the occupational pension insurance plan and compare two alternative pricing plans. We … find that there is a low, yet non-negligible risk of very high losses that may threaten the existence of the occupational … pension insurance plan (PSVaG). While relating risk premiums to firms' default probabilities would cause them to diverge …

decline. While participating contracts embedding these guarantees are designed to share market risk across investor cohorts … when guarantees are not binding, we study how binding guarantees distort inter-cohort risk sharing. Using regulatory data …