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Optimal Withdrawal Strategies in GLWB Variable Annuities

Bacinello, Anna Rita; Maggistro, Rosario; Zoccolan, Ivan - 2022

The aim of this paper is to construct a dynamic programming algorithm for pricing variable annuities with GLWB under a stochastic mortality framework. Although our set-up is very general and only requires the Markovian property for the mortality intensity and the asset price processes, in the...

Persistent link: https://www.econbiz.de/10013291327

Variable Annuities : Market Incompleteness and Policyholder Behavior

Moenig, Thorsten - 2021

Variable annuities (VAs) are popular personal savings and investment vehicles with long-term guarantees. They include various exercise-dependent features, and the pricing, valuation and hedging of the guarantees depend critically on the investors' decision making. I study whether the optimal...

Persistent link: https://www.econbiz.de/10013243119

Life Insurance and the Agency Conflict : An Analysis of Prudential Regulation to Guard Policyholders from Excessive Risk Taking

Wiehenkamp, Christian - 2010

The paper builds on the current discussion on reforming insurance regulation in light of the EU's move towards the Solvency II regime and studies the agency problem in a life insurance environment. It compares different regulatory regimes in their effectiveness to control the owner's incentive...

Persistent link: https://www.econbiz.de/10013143543

Valuation of Flexible Insurance Contracts

Melnikov, Alexander - 2015

This work is devoted to the study of insurance contracts based on risky instruments of the financial market. In the case of Black-Scholes with constant and stochastic volatility, we present explicit formulas for premia of pure endowment contracts with guarantees

Persistent link: https://www.econbiz.de/10013014245

Stochastic Modeling and Fair Valuation of Drawdown Insurance

Zhang, Hongzhong - 2013

asset value. We first consider a vanilla insurance contract whereby the protection buyer pays a constant premium over time …

Persistent link: https://www.econbiz.de/10013084358

Multi-Period Risk Sharing Under Financial Fairness

Bao, Hailong - 2016

We work with a multi-period system where a finite number of agents need to share multiple monetary risks. We look for the solutions that are both Pareto efficient utility-wise and financially fair value-wise. A buffer enables the inter-temporal capital transfer. Expected utility is used to...

Persistent link: https://www.econbiz.de/10013002996

Financial Fairness and Conditional Indexation

Kleinow, Torsten - 2016

Collective pension contracts can generate advantages for their participants by implementing forms of risk sharing. To ensure the continuity of a collective scheme, it has to be monitored whether the contracts offered to participants are financially fair in terms of their market value. When risk...

Persistent link: https://www.econbiz.de/10012985042

Modeling Mortality of Related Populations via Parameter Shrinkage

Venter, Gary - 2019

Parameter shrinkage is known to reduce fitting and prediction errors in linear models. When the variables are dummies for age, period, etc. shrinkage is more commonly applied to differences between adjacent parameters, perhaps by fitting cubic splines or piecewise-linear curves (linear splines)...

Persistent link: https://www.econbiz.de/10012896743

The Effect of Secondary Markets on Equity-Linked Life Insurance with Surrender Guarantees

Hilpert, Christian; Li, Jing; Szimayer, Alexander - 2011

the insurance company's and the policyholders' perspectives and characterize the contract values by deriving the … secondary market characteristics such as accessibility and competition on the contract values. The pricing PDEs are solved … existence of a fair contract in this context and study the effect of the secondary market on fair contract design. …

Persistent link: https://www.econbiz.de/10010312983

The Effect of Policyholders’ Rationality on Unit-Linked Life Insurance Contracts with Surrender Guarantees

Li, Jing - 2010

method. We show that the rationality of the policyholders has a significant effect on average contract value and hence on the … fair contract design. We also present the separating boundary between purely exogenous surrender and endogenous surrender …

Persistent link: https://www.econbiz.de/10013135122