On the Market-Consistent Valuation of Participating Life Insurance Heterogeneous Contracts under Longevity Risk

The purpose of this paper is to conduct a market-consistent valuation life insurance participating liabilities sold population partially heterogeneous customers under the joint impact biometric and financial risk. In particular, heterogeneity between groups policyholders stems from their offered minimum interest rate guarantees contract maturities. We analyse effects these features on company’s insolvency while embracing insurer’s goal achieve same expected return for different cohorts policyholders. Within our extensive numerical analyses, we determine fair participation rates other key figures, discuss implications stakeholders, taking account various degrees conservativeness insurer when pricing contracts.