The aim of this paper is to study optimal riskand value-based management decisions regarding a non-life insurer’s investment strategy by maximizing shareholder value based on preference functions, while simultaneously controlling for the ruin probability. We thereby extend previous work by explicitly accounting for the policyholders’ willingness to pay depending on their risk sensitivity based ...

Guaranteed Annuity Options (GAOs) are options available to holders of certain pension policies. Under these contracts, policyholders contribute premiums into a fund managed by the insurer. At retirement, the policyholders buy life annuities at a guaranteed rate provided by the original insurer, or annuitize with another insurer. If the guaranteed annuity rates are better than the prevailing rat...

Contract-relevant information asymmetries are known to cause inefficien-cies in markets. The information asymmetry is largest in the beginning of the customerinsurer relationship but reduces over time; the longer a poli-cyholder stays with the insurer the more the insurer learns about the poli-cyholder’s risk. Two important characteristics of the market studied here imply that the information a...

This research project is dedicated to implement an algorithm for the partial differential equation solution to a risk management problem of the GMWB variable annuity developed in Feng & Vecer [1]. In the first part of the report, we give an introduction of the insurance product and the mathematical dynamics behind it. In the second part of the report, we introduce the finite difference method i...

OBJECTIVE To investigate if a mortality differential exists between insurance policyholders with treated hypertension and policyholders who are not under such treatment, where both groups are noted to have the same blood pressure at the time of policy issue. BACKGROUND Hypertension is a known mortality risk factor in the insured and general population. Treatment for hypertension is very commo...

www.scor.com/SGLA Every day hundreds of term life policyholders receive 60-day notices of rate changes because their level premium guarantee is coming to an end. And the premium jumps can be jaw dropping – often 5 to 10 times the rate paid during the level period. In response, most policyholders lapse their contract when the level premium period ends or within a few months thereafter – the shoc...

We present experimental evidence suggesting that insurance policyholders ignore the possibility of damage recurrence when deciding whether to submit a claim for a current small loss. The neglect results in successive claiming for current small damage levels. When the probability of damage recurrence is disclosed, subjects increase their cutoff damage for submitting a claim, and the recurrence p...

Abstract Claims, being the heartbeat of workability insurance, are most critical contact influencer between insuring public and insurer. It serves as a path to truth that shapes policyholders’ ultimate perceptions their insurers. Therefore, this study aimed at evaluating relationships claims settlement risk attitudes, with specific reference motor insurance policyholders in Lagos, Nigeria. The ...

In this paper we raise the matter of considering a stochastic modeling of the surrender rate instead of the classical S-shaped deterministic curve (in function of the spread), still used in almost all insurance companies. A stochastic model in which surrenders are conditionally independent with respect to a S-curve disturbance would be tempting in some extreme scenarii, especially to address th...