文章基本信息

标题：On the Market-Consistent Valuation of Participating Life Insurance Heterogeneous Contracts under Longevity Risk
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作者：Anna Rita Bacinello ; An Chen ; Thorsten Sehner 等
期刊名称：Risks
印刷版ISSN：2227-9091
出版年度：2021
卷号：9
期号：1
页码：20
DOI：10.3390/risks9010020
语种：English
出版社：MDPI, Open Access Journal
摘要：The purpose of this paper is to conduct a market-consistent valuation of life insurance participating liabilities sold to a population of partially heterogeneous customers under the joint impact of biometric and financial risk. In particular, the heterogeneity between groups of policyholders stems from their offered minimum interest rate guarantees and contract maturities. We analyse the effects of these features on the company’s insolvency while embracing the insurer’s goal to achieve the same expected return for different cohorts of policyholders. Within our extensive numerical analyses, we determine the fair participation rates and other key figures, and discuss the implications for the stakeholders, taking account of various degrees of conservativeness of the insurer when pricing the contracts.