Is fair pricing possible? an analysis of participating...

Enlace persistente
MARCXML Dublin Core RDF MODS Cita bibliográfica BibTeX SWAP METS

Imagen del registro

Artículos Artículos Is fair pricing possible? an analysis of participating life insurance portfolios - Orozco García, Carolina

Colección: Artículos

Título: Is fair pricing possible? an analysis of participating life insurance portfolios / Carolina Orozco García, Hato Schmeiser

Descripción física: 40 p.

Notas: Sumario: Pooling individual customers with different inception dates into a single legal entity may generate intergenerational subsidies that are accentuated when the insurer has limited liability. This article aims to investigate whether an insurer can charge fair premiums while simultaneously ensuring identical levels of default riskmeasured by the value of the default put option ratio for all generations. The decision variables for achieving these goals are asset allocation and the amount of the insurer's equity capital. We propose an accounting framework where the insurer controls for insolvency positions annually after the first contract is issued. Additionally, a run-off framework is developed where the insurer does not declare bankruptcy in case of an insolvency, but instead stops issuing new policies and runs the company until the assets are exhausted or the last policyholder is paid. We find that intergenerational subsidies and different levels of default risk per generation cannot be avoided whenever we face a positive default risk.

Autores secundarios: Schmeiser, Hato Icono con lupa

Otras clasificaciones: 341

Derechos: In Copyright (InC):

Ver detalle del número Ver detalle del número