We study the optimal insurance design problem. This is a risk sharing problem between an insured and an insurer. The … main novelty in this paper is that we study this optimization problem under a risk-adjusted premium calculation principle … for the insurance cover. This risk-adjusted premium calculation principle uses the cost-of-capital approach as it is …

collected periodically throughout the duration of the guarantee. Using a ratings based approach, we show how to price the risk …

We study the relation between one-year premium risk and ultimate premium risk. In practice, the one-year risk is … sometimes related to the ultimate risk by using a so-called emergence pattern formula which postulates a linear relation between … both risks. We define the true emergence pattern of the ultimate loss for the one-year premium risk based on a conditional …

the form that either only a portion of the population or none will cover themselves against premium risk with a GR … contract. Increased risk aversion, increased premium risk, and first-order stochastic improvements of the distribution of … private information increase the likelihood of positive take-up. In case GR contracts are in demand, increased risk aversion …