On the Management of Life Insurance Company Risk by Strategic Choice of Product Mix, Investment Strategy and Surplus Appropriation Schemes
Bohnert A, Gatzert N, Jørgensen PL (2015)
Publication Language: English
Publication Type: Journal article, Original article
Publication year: 2015
Journal
Publisher: Elsevier
Book Volume: 60
Pages Range: 83-97
DOI: 10.1016/j.insmatheco.2014.11.003
Abstract
The aim of this paper is to analyze the impact of management's strategic choice of asset and liability composition in life insurance on shortfall risk and the shareholders' fair risk charge. In contrast to previous work, we focus on the effectiveness of management decisions regarding the product mix and the riskiness of the asset side under different surplus appropriation schemes. We propose a model setting that comprises temporary life annuities and endowment insurance contracts. Our numerical results show that the effectiveness of management decisions in regard to risk reduction strongly depends on the surplus appropriation scheme offered to the customer and their impact on guaranteed benefit payments, which thus presents an important control variable for the insurer.
Authors with CRIS profile
Alexander Bohnert
Lehrstuhl für Versicherungswirtschaft und Risikomanagement
Nadine Gatzert
Lehrstuhl für Versicherungswirtschaft und Risikomanagement
Related research project(s)
Involved external institutions
Denmark (DK)How to cite
APA:
Bohnert, A., Gatzert, N., & Jørgensen, P.L. (2015). On the Management of Life Insurance Company Risk by Strategic Choice of Product Mix, Investment Strategy and Surplus Appropriation Schemes. Insurance Mathematics & Economics, 60, 83-97. https://dx.doi.org/10.1016/j.insmatheco.2014.11.003
MLA:
Bohnert, Alexander, Nadine Gatzert, and Peter Løchte Jørgensen. "On the Management of Life Insurance Company Risk by Strategic Choice of Product Mix, Investment Strategy and Surplus Appropriation Schemes." Insurance Mathematics & Economics 60 (2015): 83-97.
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