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Title:

Analyzing the effect of low interest rates on the surplus participation of life insurance policies with different annual interest rate guarantees

Document type:
Zeitschriftenaufsatz
Author(s):
Hieber, P.; Korn, R.; Scherer, M.
Non-TUM Co-author(s):
ja
Cooperation:
national
Abstract:
We analyze the effects of a prevailing low interest rates regime on investment decisions of insurance companies and on the risk/return profile of participating life insurance policies with different contractually guaranteed minimum annual return. Our analysis is based on German legislation and a stylized insurance company with two cohorts of insured persons having different minimal return guarantees. Our findings shed some light on the non-trivial interrelation between profit distribution, minim...     »
Intellectual Contribution:
Discipline-based Research
Journal title:
European Actuarial Journal
Journal listet in FT50 ranking:
nein
Year:
2015
Journal volume:
5
Journal issue:
1
Pages contribution:
11-28
Reviewed:
ja
Language:
en
Fulltext / DOI:
doi:10.1007/s13385-014-0102-3
Status:
Verlagsversion / published
TUM Institution:
Lehrstuhl für Finanzmathematik
Judgement review:
0
Key publication:
Nein
Peer reviewed:
Ja
International:
Ja
Book review:
Nein
Commissioned:
not commissioned
Professional Journal:
Nein
Technology:
Nein
Interdisciplinarity:
Nein
Mission statement:
;
Ethics and Sustainability:
Nein
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