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Solvency capital requirement for German unit-linked insurance products

  • Kochanski, Michael

Innovative Lebensversicherungsprodukte wie fondsgebundene Lebensversicherungen, Hybrid-Lebensversicherungen und Variable Annuities erfreuen sich rasch zunehmender Nachfrage und haben einen großen Anteil am Neugeschäft in Deutschland. Da traditionelle Versicherungsprodukte weiterhin den Großteil an den Beständen der Lebensversicherer ausmachen, konzentrierte sich die Diskussion über die Standardformel zur Berechnung des Solvenzkapitals bisher weitgehend auf ebendiese Produkte. Eine ausführliche Diskussion darüber, wie Solvenzkapital für innovative Lebensversicherungsprodukte im Rahmen der Standardformel berechnet werden kann, ist deshalb erforderlich.

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Article provided by University of Cologne, Department of Risk Management and Insurance in its journal German Risk and Insurance Review (GRIR).

Volume (Year): 6 (2010)
Issue (Month): 2 ()
Pages: 33-70

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Handle: RePEc:zbw:grirej:68727
Contact details of provider: Web page: http://www.risk-insurance.de/

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  1. Weiyu Kuo & Chenghsien Tsai & Wei-Kuang Chen, 2003. "An Empirical Study on the Lapse Rate: The Cointegration Approach," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 70(3), pages 489-508.
  2. Steffensen, Mogens, 2002. "Intervention options in life insurance," Insurance: Mathematics and Economics, Elsevier, vol. 31(1), pages 71-85, August.
  3. Grosen, Anders & Lochte Jorgensen, Peter, 2000. "Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies," Insurance: Mathematics and Economics, Elsevier, vol. 26(1), pages 37-57, February.
  4. Outreville, J. Francois, 1990. "Whole-life insurance lapse rates and the emergency fund hypothesis," Insurance: Mathematics and Economics, Elsevier, vol. 9(4), pages 249-255, December.
  5. Luca Anzilli & Luigi De Cesare, 2007. "Valuation of the surrender option in unit-linked life insurance policies in a non-rational behaviour framework," Quaderni DSEMS 20-2007, Dipartimento di Scienze Economiche, Matematiche e Statistiche, Universita' di Foggia.
  6. Nordahl, Helge A., 2008. "Valuation of life insurance surrender and exchange options," Insurance: Mathematics and Economics, Elsevier, vol. 42(3), pages 909-919, June.
  7. Thomas Steffen, 2008. "Solvency II and the Work of CEIOPS," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan, vol. 33(1), pages 60-65, January.
  8. Matthew Elderfield, 2009. "Solvency II: Setting the Pace for Regulatory Change," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan, vol. 34(1), pages 35-41, January.
  9. Anna Rita Bacinello, 2003. "Fair Valuation of a Guaranteed Life Insurance Participating Contract Embedding a Surrender Option," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 70(3), pages 461-487.
  10. Bauer, Daniel & Kiesel, Rudiger & Kling, Alexander & Ru[ss], Jochen, 2006. "Risk-neutral valuation of participating life insurance contracts," Insurance: Mathematics and Economics, Elsevier, vol. 39(2), pages 171-183, October.
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