Definitions of pooling effects in insurance companies may convey the impression that the achieved risk reduction effect will be beneficial for policyholders, since typically a) lower premiums are paid for the same safety level with an increasing number of insureds, or b) a higher safety level is...

Interest rate guarantees in unit-linked life insurance products ensure that at contract maturity, at least a minimum guaranteed amount is paid, even if the mutual fund falls below the guaranteed level. Strongly depending on the riskiness of the underlying mutual fund, these guarantees can be of...

In recent years, industry loss warranties (ILWs) have become increasingly popular in the reinsurance market. The defining feature of ILW contracts is their dependence on an industry loss index. The use of an index reduces moral hazard and generally results in lower prices compared to...

The aim of this paper is to compare pricing and performance of mutual funds with two types of guarantees: a look back guarantee and an interest rate guarantee. In a simulation analysis of different portfolios based on stock, bond, real estate, and money market indices, we first calibrate...

The aim of this article is to identify fair equity-premium combinations for non-life insurers that satisfy solvency capitalrequirements imposed by regulatory authorities. In particular, we compare target capital derived using the value at risk concept as planned for Solvency II in the European...

A change in the corporate tax level can have a significant impact on rate making and capital structure for insurance companies. The purpose of this paper is to study this effect on competitive equity – premium combinations for different asset and liability models while retaining a fixed safety...