منابع مشابه
the test for adverse selection in life insurance market: the case of mellat insurance company
انتخاب نامساعد یکی از مشکلات اساسی در صنعت بیمه است. که ابتدا در سال 1960، توسط روتشیلد واستیگلیتز مورد بحث ومطالعه قرار گرفت ازآن موقع تاکنون بسیاری از پژوهشگران مدل های مختلفی را برای تجزیه و تحلیل تقاضا برای صنعت بیمه عمر که تماما ناشی از عدم قطعیت در این صنعت میباشد انجام داده اند .وهدف از آن پیدا کردن شرایطی است که تحت آن شرایط انتخاب یا کنار گذاشتن یک بیمه گزار به نفع و یا زیان شرکت بیمه ...
15 صفحه اولAnalysis of Participating Life Insurance Contracts : a Unification Approach
Fair pricing of embedded options in life insurance contracts is usually conducted by using risk-neutral valuation. This pricing framework assumes a perfect hedging strategy, which insurance companies can hardly pursue in practice. In this paper, we extend the risk-neutral valuation concept with a risk measurement approach. We accomplish this by first calibrating contract parameters that lead to...
متن کاملMaking use of netting effects when composing life insurance contracts
In this paper, we discuss netting effects in life insurance policies provided by the natural hedge between payments that are due when sojourning in a state and when leaving a state. We uncover potentials for such netting effects with the help of a sensitivity analysis, and we quantify the effect on solvency reserves with the help of a worst-case analysis. The paper discusses a number of example...
متن کاملThe Pareto-optimal Design of Term Life Insurance Contracts
Numerous investigations have been directed toward aspects of rational life insurance purch&es and optimal coverage levels under differing conditions. Most of these studies have taken as "given" the design of life insurance contracts and have focused on optimal consumer responses to available insurance opportunities.' However, in works by Borch (1960, 1983), Arrow (1963, 1974) and Raviv (1979), ...
متن کاملPricing life insurance contracts with early exercise features
In this paper we describe an algorithm based on the Least Squares Monte Carlo method to price life insurance contracts embedding American options. We focus on equity-linked contracts with surrender options and terminal guarantees on benefits payable upon death, survival and surrender. The framework allows for randomness in mortality as well as stochastic volatility and jumps in financial risk f...
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ژورنال
عنوان ژورنال: The ANNALS of the American Academy of Political and Social Science
سال: 1905
ISSN: 0002-7162,1552-3349
DOI: 10.1177/000271620502600203