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...

Die marktwertorientierte Unternehmens- und Geschäftsbereichssteuerung in Finanzdienstleistungsunternehmen wird in der Literatur verstärkt diskutiert. Als Steuerungsinstrumente finden vor allem Konzepte der risikoadjustierten Performancesteuerung wie z.B. "RAROC" (Risk Adjusted Return on...

Risk transfer between primary insurance and reinsurance companies today takes place against a backdrop of major changes in international insurance and financial markets. One of these changes is the trend for the two markets to converge. This trend manifests itself in a growing number of product...

This contribution discusses a number of ideas for using a shareholder value approach to the problems of risk-adjusted performance measurement and the issue of capital allocation. We demonstrate that, if shareholder value is to be consistently maximised, then not only the total amount of equity...