Asset Risk Management of Participating Contracts
In this paper we study the asset-liability management of an insurance company selling “participating contracts”. Participating contracts are typical insurance policies sold in Europe, in Japan or in North America. The payoff of a participating policy is linked to the portfolio and the surplus of the insurance company. We examine the impact of the choice of the assets' investment strategy on the company value, its solvency and how well the company may meet the commitments associated with its liabilities. Our goal is to exhibit an investment strategy matching as much as possible assets and liabilities at their market value and complying with existing regulation constraints. It is then shown that a dynamic CPPI strategy can significantly reduce the default probability of the company, and increase the policyholders contracts' market values. Consequently our study also shows that the valuation of participating policies and the determination of fair contracts should not be done neglecting the impact of the choice of the assets' allocation strategy.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 6 (2012)
Issue (Month): 2 (June)
|Contact details of provider:|| Web page: https://www.degruyter.com|
|Order Information:||Web: https://www.degruyter.com/view/j/apjri|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Brennan, Michael J. & Schwartz, Eduardo S., 1976. "The pricing of equity-linked life insurance policies with an asset value guarantee," Journal of Financial Economics, Elsevier, vol. 3(3), pages 195-213, June.
- Ballotta, Laura, 2005. "A Lévy process-based framework for the fair valuation of participating life insurance contracts," Insurance: Mathematics and Economics, Elsevier, vol. 37(2), pages 173-196, October.
- Helmut Gründl & Hato Schmeiser, 2007. "Capital Allocation for Insurance Companies-What Good IS IT?," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 74(2), pages 301-317.
- Ballotta, Laura & Esposito, Giorgia & Haberman, Steven, 2006. "The IASB Insurance Project for life insurance contracts: Impact on reserving methods and solvency requirements," Insurance: Mathematics and Economics, Elsevier, vol. 39(3), pages 356-375, December.
- Laura Ballotta & Steven Haberman & Nan Wang, 2006. "Guarantees in With-Profit and Unitized With-Profit Life Insurance Contracts: Fair Valuation Problem in Presence of the Default Option," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 73(1), pages 97-121.
- Nadine Gatzert & Alexander Kling, 2007. "Analysis of Participating Life Insurance Contracts: A Unification Approach," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 74(3), pages 547-570.
When requesting a correction, please mention this item's handle: RePEc:bpj:apjrin:v:6:y:2012:i:2:n:5. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Peter Golla)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.