Special Issue “Quantitative Risk Assessment in Life, Health and Pension Insurance”
نویسندگان
چکیده
The high volatility in financial markets, together with the ultra-low interest rates environment and increased expectation of life, constitute serious threats for providers long-term investment guarantees lifelong benefits [...]
منابع مشابه
Utility maximization and risk minimization in life and pension insurance
We study the problem of finding optimal strategies for a life insurance company or pension fund that acts on behalf of an insured so as to maximize the expected utility (in a general form) of the pension benefits through dividend allocation and investment in a financial market. We take the uncertain course of life of the insured into account and provide the full picture of the policy’s financia...
متن کامل“the effect of risk aversion on the demand for life insurance: the case of iranian life insurance market”
abstract: about 60% of total premium of insurance industry is pertained?to life policies in the world; while the life insurance total premium in iran is less than 6% of total premium in insurance industry in 2008 (sigma, no 3/2009). among the reasons that discourage the life insurance industry is the problem of adverse selection. adverse selection theory describes a situation where the inf...
15 صفحه اولPension Risk, Retirement Saving and Insurance
Using a representative sample of Italian investors, we estimate the risk associated with pension benefits by eliciting for each individual the subjective distribution of the replacement rate as a summary indicator of social security wealth. We find substantial heterogeneity of pension risk and show that it is consistently related to observable features in the pension system that have different ...
متن کاملOn Valuation and Control in Life and Pension Insurance
My interest in the topics dealt with in this thesis was aroused during my graduate studies and the preparation of my master's thesis. I realized a number of open questions and wanted to search for some of the answers. This search started with my master's thesis and continues with the present thesis. Chapter 2 is closely related to parts of my master's thesis. However, the framework and the resu...
متن کاملPortfolio Choice and Fair Pricing in Life and Pension Insurance
We investigate the implications of optimal portfolio choice on fair pricing of specific pension insurance contracts. We motivate that the manager of the insurance company should optimize utility of final payout for the policy holders. The payout to the policy holder is highly non-linear in wealth, implying that the optimization problem is non-trivial. Still, we find closed form solutions. Simul...
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ژورنال
عنوان ژورنال: Risks
سال: 2022
ISSN: ['2227-9091']
DOI: https://doi.org/10.3390/risks10040072