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Title:

Fair valuation of cliquet-style return guarantees in (homogeneous and) heterogeneous life insurance portfolios

Document type:
Zeitschriftenaufsatz
Author(s):
Hieber, P.; Natolski, J.; Werner, R.
Non-TUM Co-author(s):
ja
Cooperation:
international
Abstract:
Participating life insurance contracts allow the policyholder to participate in the annual return of a reference portfolio. Additionally, they are often equipped with an annual (cliquet-style) return guarantee. The current low interest rate environment has again refreshed the discussion on risk management and fair valuation of such embedded options. While this problem is typically discussed from the viewpoint of a single contract or a homogeneous insurance portfolio, contracts are, in practice,...     »
Intellectual Contribution:
Discipline-based Research
Journal title:
Scandinavian Actuarial Journal
Journal listet in FT50 ranking:
nein
Year:
2019
Journal volume:
Issue 6
Fulltext / DOI:
doi:10.1080/03461238.2019.1574889
Judgement review:
0
Key publication:
Nein
Peer reviewed:
Ja
Commissioned:
not commissioned
Technology:
Nein
Interdisciplinarity:
Nein
Mission statement:
;
Ethics and Sustainability:
Nein
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