The Impact of the Secondary Market on Life Insurers' Surrender Profits
Gatzert N, Hoermann G, Schmeiser H (2009)
Publication Language: English
Publication Type: Journal article, Original article
Publication year: 2009
Journal
Publisher: Wiley-Blackwell
Book Volume: 76
Pages Range: 887-908
Journal Issue: 4
DOI: 10.1111/j.1539-6975.2009.01320.x
Abstract
Life insurers often claim that the life settlement industry reduces their surrender profits and leads to an adverse shift in their portfolio of insured risks; that is, high risks remain in the portfolio instead of surrendering. In this article, we aim to quantify the effect of altered surrender behavior - subject to the health status of an insured - in a portfolio of life insurance contracts on the surrender profits of primary insurers. Our model includes mortality heterogeneity by applying a stochastic frailty factor to a mortality table. We additionally analyze the impact of the premium payment method by comparing results for annual and single premium payments.
Authors with CRIS profile
Involved external institutions
Universität St.Gallen
Switzerland (CH)
Münchener Rückversicherungs-Gesellschaft (Munich Re)
Germany (DE)
Switzerland (CH)
Münchener Rückversicherungs-Gesellschaft (Munich Re)
Germany (DE)
How to cite
APA:
Gatzert, N., Hoermann, G., & Schmeiser, H. (2009). The Impact of the Secondary Market on Life Insurers' Surrender Profits. Journal of Risk and Insurance, 76(4), 887-908. https://doi.org/10.1111/j.1539-6975.2009.01320.x
MLA:
Gatzert, Nadine, Gudrun Hoermann, and Hato Schmeiser. "The Impact of the Secondary Market on Life Insurers' Surrender Profits." Journal of Risk and Insurance 76.4 (2009): 887-908.
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