Participating life insurance contracts entitle the policyholder to participate in the company’s annual surplus. Typically, they are also equipped with a surrender option that allows the policyholder to terminate the contract prior to maturity, receiving a predetermined surrender value. The option interacts with (often cliquet-style) interest guarantees that are a key feature of traditional participating contracts. Surrender options can considerably affect an insurer’s liabilities and bear material risks. This paper addresses the recognition of those risks in the quantitative assessment of a heterogeneous insurance portfolio under Solvency II, taking into account the complex interrelation between minimum interest guarantees, rese...
New risk-based solvency requirements for insurance companies across European markets have been intro...
This paper analyzes the numerical impact of different surplus distribution mechanisms on the risk ex...
A 2-step model is proposed to describe the dynamic behaviour of policyholder based on the properties...
Participating life insurance contracts entitle the policyholder to participate in the company’...
AbstractIntroducing a surrender option in unit-linked life insurance contracts leads to a dependence...
National audienceThis paper shows that some policy features are crucial to explain the decision of t...
The valuation of the prepayment option embedded in mortgages attracts the attention of practitioners...
In the context of the stochastic models for the management of life insurance portfolio, the authors ...
The paper analyzes one of the most common life insurance products - the so-called participating (or ...
The non-forfeiture options of a cash value life insurance policy allow the policyholder to gain acce...
We present a general framework for pricing life insurance contracts embedding a surrender option. Th...
This thesis aims at contributing to the study of the valuation of insurance liabilities and the mana...
Life insurers often claim that the life settlement industry reduces their sur-render profits and lea...
Traditional participating life insurance contracts with year-to-year (cliquet-style) guarantees have...
posed by Longstaff and Schwartz for the valuation of American-style contingent-claims to the case of...
New risk-based solvency requirements for insurance companies across European markets have been intro...
This paper analyzes the numerical impact of different surplus distribution mechanisms on the risk ex...
A 2-step model is proposed to describe the dynamic behaviour of policyholder based on the properties...
Participating life insurance contracts entitle the policyholder to participate in the company’...
AbstractIntroducing a surrender option in unit-linked life insurance contracts leads to a dependence...
National audienceThis paper shows that some policy features are crucial to explain the decision of t...
The valuation of the prepayment option embedded in mortgages attracts the attention of practitioners...
In the context of the stochastic models for the management of life insurance portfolio, the authors ...
The paper analyzes one of the most common life insurance products - the so-called participating (or ...
The non-forfeiture options of a cash value life insurance policy allow the policyholder to gain acce...
We present a general framework for pricing life insurance contracts embedding a surrender option. Th...
This thesis aims at contributing to the study of the valuation of insurance liabilities and the mana...
Life insurers often claim that the life settlement industry reduces their sur-render profits and lea...
Traditional participating life insurance contracts with year-to-year (cliquet-style) guarantees have...
posed by Longstaff and Schwartz for the valuation of American-style contingent-claims to the case of...
New risk-based solvency requirements for insurance companies across European markets have been intro...
This paper analyzes the numerical impact of different surplus distribution mechanisms on the risk ex...
A 2-step model is proposed to describe the dynamic behaviour of policyholder based on the properties...