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In this paper we analyze the attractiveness of a so called mortality swap, which combines an immediate annuity and a whole life insurance contract, in the German insurance market. The analysis follows a methodology introduced by Charupat and Milevsky (2001). Using theoretical products based on...
Persistent link: https://www.econbiz.de/10010307637
The use of forward models for the future development of mortality has been proposed by several authors. In this article, we specify adequate volatility structures for such models. We derive a Heath-Jarrow-Morton drift condition under different measures. Based on demographic and epidemiological...
Persistent link: https://www.econbiz.de/10014585457
In this paper we analyze the attractiveness of a so called mortality swap, which combines an immediate annuity and a whole life insurance contract, in the German insurance market. The analysis follows a methodology introduced by Charupat and Milevsky (2001). Using theoretical products based on...
Persistent link: https://www.econbiz.de/10005841115
We use data from a large US life expectancy provider to test for asymmetric information in the secondary life insurance-or life settlements-market. We compare realized lifetimes for a subsample of settled policies relative to all (settled and nonsettled) policies, and find a positive...
Persistent link: https://www.econbiz.de/10013189747
We present a model of a longevity risk transfer market with different market players (primary insurers, reinsurers, and capital market investors) and investigate how market dynamics and the market players' roles evolve with progressing market saturation. We find that reinsurers' appetite for...
Persistent link: https://www.econbiz.de/10014504278
This paper analyzes the numerical impact of different surplus distribution mechanisms on the risk exposure of a life insurance company selling with profit life insurance policies with a cliquet-style interest rate guarantee. Three representative companies are considered, each using a different...
Persistent link: https://www.econbiz.de/10010427728
Traditional participating life insurance contracts with year-to-year (cliquet-style) guarantees have come under pressure in the current situation of low interest rates and volatile capital markets, in particular when priced in a market-consistent valuation framework. In addition, such guarantees...
Persistent link: https://www.econbiz.de/10011709552
This paper analyzes the numerical impact of different surplus distribution mechanisms on the risk exposure of a life insurance company selling with profit life insurance policies with a cliquet-style interest rate guarantee. Three representative companies are considered, each using a different...
Persistent link: https://www.econbiz.de/10009418834
Persistent link: https://www.econbiz.de/10003638564
Persistent link: https://www.econbiz.de/10003903307