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| Titel: |
On pricing and reserving with-profits life insurance contracts |
| Auteur: |
Prieul, David Putyatin, Vladislav Nassar, Tarek |
| Verschenen in: |
Applied mathematical finance |
| Paginering: | Jaargang 8 (2001) nr. 3 pagina's 145-166 |
| Jaar: |
2001-09-01 |
| Inhoud: |
As a first approximation, asset and liability management issues faced by life insurance companies originate from the sale of with-profits contracts. These contracts are bond-type products with several rate guarantees and other interestsensitive embedded options. Benefits paid out to policyholders mostly depend on the investment performance of a given asset portfolio in which premiums are invested. Thus, guarantees and options granted to policyholders may become effective when the investment performance of the asset portfolio is poor. Issuing a with-profits contract is therefore not equivalent to issuing plain-vanilla debt. The purpose of this paper is to value with-profits liabilities in a consistent option-pricing framework and to develop efficient asset or liability strategies to manage profitability and variability of shareholder value. |
| Uitgever: |
Routledge |
| Bronbestand: |
Elektronische Wetenschappelijke Tijdschriften |
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