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A tontine provides a mortality driven, age-increasing payout structure through the pooling of mortality. Because a tontine does not entail any guarantees, the payout structure of a tontine is determined by the pooling of individual characteristics of tontinists. Therefore, the surrender decision...
Persistent link: https://www.econbiz.de/10011696500
The changing social, financial and regulatory frameworks, such as an increasingly aging society, the current low interest rate environment, as well as the implementation of Solvency II, lead to the search for new product forms for private pension provision. In order to address the various...
Persistent link: https://www.econbiz.de/10011512972
The changing social, financial and regulatory frameworks, such as an increasingly aging society, the current low interest rate environment, as well as the implementation of Solvency II, lead to the search for new product forms for private pension provision. In order to address the various...
Persistent link: https://www.econbiz.de/10011516470
This paper deals with Alternative Risk Transfer (ART) through the securitization of longevity and mortality risks in pension plans and commercial life insurance. Various types of such mortality-linked securities are described (e.g., CATM bonds, longevity bonds, mortality forwards and futures,...
Persistent link: https://www.econbiz.de/10008876450
Households buy life insurance as part of their liquidity management. The option to surrender such a policy can serve as a buffer when a household faces a liquidity need. In this study, we investigate empirically which individual and household specific sociodemographic factors influence the...
Persistent link: https://www.econbiz.de/10011960382
tontines can be a complement to or a substitute for traditional annuities. We find that it is only optimal to invest in … tontines for a certain range of initial wealth. In addition, we investigate in how far the tontine size, the volatility of … individual liquidity needs and expected mortality rates contribute to the demand for tontines. …
Persistent link: https://www.econbiz.de/10014503934
In this paper I assess the effect of interest rate risk and longevity risk on the solvency position of a life insurer selling policies with minimum guaranteed rate of return, profit participation and annuitization option at maturity. The life insurer is assumed to be based in Germany and...
Persistent link: https://www.econbiz.de/10011535876
In this paper I assess the effect of interest rate risk and longevity risk on the solvency position of a life insurer selling policies with minimum guaranteed rate of return, profit participation and annuitization option at maturity. The life insurer is assumed to be based in Germany and...
Persistent link: https://www.econbiz.de/10011539415
Annuities are perceived as being illiquid financial instruments, and this has limited their attractiveness to consumers … and inclusion in financial models. However, short positions in annuities can be replicated using life insurance and debt …, permitting long positions in annuities to be offset, or short annuity positions to be created. The implications of this result …
Persistent link: https://www.econbiz.de/10010937356
Annuities are perceived as being illiquid financial instruments, and this has limited their attractiveness to consumers … and their inclusion in financial models. However, short positions in annuities can be replicated using life insurance and … debt, permitting long positions in annuities to be offset, or short annuity positions to be created. The implications of …
Persistent link: https://www.econbiz.de/10011264495