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Tax arbitrage in the German insurance market

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  • Richter, Andreas
  • Ruß, Jochen
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    Abstract

    In this paper we analyze the attractiveness of a so called mortality swap, which combines an immediate annuity and a whole life insurance contract, in the German insurance market. The analysis follows a methodology introduced by Charupat and Milevsky (2001). Using theoretical products based on actuarially fair calculation, we find that depending on the level of interest rates there exist significant arbitrage opportunities in particular for elderly and high income people which can mainly be explained by an inadequate and unsatisfactory tax legislation. Empirical results based on products offered in the market confirm these findings. --

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    Bibliographic Info

    Paper provided by University of Hamburg, Institute for Risk and Insurance in its series Working Papers on Risk and Insurance with number 5.

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    Date of creation: 2001
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    Handle: RePEc:zbw:hzvwps:5

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    Web page: http://www.hzv-uhh.de/
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    1. Suzanne Doyle & Olivia S. Mitchell & John Piggott, 2001. "Annuity Values in Defined Contribution Retirement Systems: The Case of Singapore and Australia," NBER Working Papers 8091, National Bureau of Economic Research, Inc.
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    Cited by:
    1. Thaut, Michael, 2003. "Die individuelle Vorteilhaftigkeit der privaten Rentenversicherung: Steuervorteile, Lebenserwartung und Stornorisiken," Tübinger Diskussionsbeiträge 264, University of Tübingen, School of Business and Economics.

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