Similar Search Results

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/10003987820

Spouses' dependence across generations and pricing impact on reversionary annuities

Luciano, Elisa; Spreeuw, Jaap; Vigna, Elena - In: Risks : open access journal 4 (2016) 2, pp. 1-18

This paper studies the dependence between coupled lives, i.e., the spouses' dependence, across different generations, and its effects on prices of reversionary annuities in the presence of longevity risk. Longevity risk is represented via a stochastic mortality intensity. We find that a...

Persistent link: https://www.econbiz.de/10011507502

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/10003828653

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/10003814526

Stochastic Mortality, Macroeconomic Risks, and Life Insurer Solvency

Hanewald, Katja - 2019

Motivated by a recent demographic study establishing a link between macroeconomic fluctuations and the mortality index kt in the Lee-Carter model, we develop a dynamic asset-liability model to assess the impact of macroeconomic fluctuations on the solvency of a life insurance company....

Persistent link: https://www.econbiz.de/10012906039