On the Management of Life Insurance Company Risk by Strategic Choice of Product Mix, Investment Strategy and Surplus Appropriation Schemes

Journal article
(Original article)


Publication Details

Author(s): Bohnert A, Gatzert N, Jørgensen PL
Journal: Insurance Mathematics & Economics
Publisher: Elsevier
Publication year: 2015
Volume: 60
Pages range: 83-97
ISSN: 0167-6687
Language: English


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.



FAU Authors / FAU Editors

Bohnert, Alexander PD Dr.
Lehrstuhl für Versicherungswirtschaft und Risikomanagement
Gatzert, Nadine Prof. Dr.
Lehrstuhl für Versicherungswirtschaft und Risikomanagement


External institutions with authors

Aarhus University


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.

BibTeX: 

Last updated on 2018-18-07 at 00:23