In this paper we derive a market-consistent value for long-term insurance contracts, with a focus on long-term health insurance contracts as found, e.g., in the German private health insurance industry. To this end, we rst set up a health insurance company model and, second, conduct a simulation study to calculate the present value of future pro ts and the time value of nancial options and guar...

In financial planning, customers are typically confronted with choosing a premium payment scheme when investing in a mutual fund, which is often equipped with an investment guarantee to provide downside protection. Guarantee costs may thereby also be charged differently depending on the provider. In this paper, we investigate the impact of the premium payment method on different performance mea...

Multi-period guarantees are often embedded in life insurance contracts. In this paper we consider the problem of hedging these multiperiod guarantees in the presence of transaction costs. We derive the hedging strategies for the cheapest hedge portfolio for a multi-period guarantee that with certainty makes the insurance company able to meet the obligations from the insurance policies it has is...

R ecently, there has been a trend toward loan guarantee programs over other programs that support the credit market. From 1970 to 1998, the real value of outstanding federal loan guarantees rose at an accelerated pace, while the real value of direct loans, the other major government loan program, has remained about the same (see Figure 1). In particular, the Small Business Administration (SBA),...

Suppose a collection of strategic agents are trying to make some decision. For example, a collection of investment banks are trying to decide how to invest their money. The payoffs of the players will depend upon the actions of the other players; as more people choose a particular investment, the value to investers who are “later to the game” will be smaller than the value for earlier investors...

On the basis of travel time reliability, this paper puts forward the concepts of absolute reliability and relative reliability to better assess road network; simultaneously, regional traffic road network reliability formula is deducted according to series and parallel connection of link, OD pair and road network. Finally, a bi-level programming model is established to optimize road network. The...

This paper explores the impact of implicit government guarantees on continuous innovation manufacturing enterprises using A-share listed companies from 2008 to 2017 as research sample. It is found that higher guarantee is, more it inhibits enterprises, and mechanism excessive indebtedness, inefficient investment, rent-seeking cost, zombie further found.

BEA is studying proposals to change the treatment of insurance services in the national accounts. There are 5 proposed changes: investment income will be added as a supplement to the premiums paid by policyholders; investment income is to include interest, dividends and capital gains; a measure of expected investment income will be incorporated; a measure of expected claims will be incorporated...

Various alternatives are available when designing a data collection system for portfolio investment (PI) statistics, in the context of balance of payments (BOP) and international investment position (IIP). Such systems differ according to the reporting agents they target, periodicity and level of aggregation, while the corresponding results vary in terms of implementation and running costs, ava...