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Quantitative Finance Volume 14, 2014 - Issue 2: Themed Issue on Pensions and Insurance
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Research Papers

The effect of policyholders’ rationality on unit-linked life insurance contracts with surrender guarantees

Jing Li Department of Economics, University of Bonn, Adenauerallee 24-42, D-53111 Bonn, GermanyCorrespondence[email protected]
&
Alexander Szimayer Department of Business Administration, University of Hamburg, Von-Melle-Park 5, D-20146 Hamburg, Germany
Pages 327-342 | Received 27 Jun 2011, Accepted 11 Jul 2013, Published online: 11 Sep 2013

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Read on this site (4)

J. Lars Kirkby & Jean-Philippe Aguilar. (2023) Valuation and optimal surrender of variable annuities with guaranteed minimum benefits and periodic fees. Scandinavian Actuarial Journal 2023:6, pages 624-654.
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Ahmad Salahnejhad Ghalehjooghi & Antoon Pelsser. (2021) Time-consistent and market-consistent actuarial valuation of the participating pension contract. Scandinavian Actuarial Journal 2021:4, pages 266-294.
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Massimo Costabile, Ivar Massabó & Emilio Russo. (2020) Evaluating variable annuities with GMWB when exogenous factors influence the policy-holder's withdrawals. The European Journal of Finance 26:2-3, pages 238-257.
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Marcus Christian Christiansen, Lars Frederik Brandt Henriksen, Kristian Juul Schomacker & Mogens Steffensen. (2016) Stress scenario generation for solvency and risk management. Scandinavian Actuarial Journal 2016:6, pages 502-529.
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Articles from other publishers (13)

Yayun Wang. (2023) Pricing equity-linked guaranteed minimum death benefits with surrender risk by complex Fourier series expansion method. Journal of Mathematical Analysis and Applications, pages 127666.
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Chunli Cheng, Christian Hilpert, Aidin Miri Lavasani & Mick Schaefer. (2023) Surrender contagion in life insurance. European Journal of Operational Research 305:3, pages 1465-1479.
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Chunli Cheng. (2022) Beyond death: The impact of a population-wide health shock on life insurance. The North American Journal of Economics and Finance 63, pages 101823.
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Bojan Srbinoski, Fernanda Strozzi, Klime Poposki & Patricia H. Born. (2020) Trends in Life Insurance Demand and Lapse Literature. Asia-Pacific Journal of Risk and Insurance 14:2.
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Christian Hilpert. (2019) The Effect of Risk Aversion and Loss Aversion on Equity‐Linked Life Insurance With Surrender Guarantees. Journal of Risk and Insurance 87:3, pages 665-687.
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Chunli Cheng & Jing Li. (2018) Early default risk and surrender risk: Impacts on participating life insurance policies. Insurance: Mathematics and Economics 78, pages 30-43.
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Anne MacKay, Maciej Augustyniak, Carole Bernard & Mary R. Hardy. (2017) Risk Management of Policyholder Behavior in Equity-Linked Life Insurance. Journal of Risk and Insurance 84:2, pages 661-690.
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Justin Kirkby & Jean-Philippe Aguilar. (2022) Valuation and Optimal Surrender of Variable Annuities with Guaranteed Minimum Benefits and Periodic Fees. SSRN Electronic Journal.
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Chunli Cheng, Christian Hilpert, Aidin Miri Lavasani & Mick Schaefer. (2019) Surrender Contagion in Life Insurance: Modeling and Valuation. SSRN Electronic Journal.
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Mick Schaefer & Alexander Szimayer. (2017) Optimal Stopping at Random Intervention Times. SSRN Electronic Journal.
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Christian Hilpert. (2016) The Effect of Risk Aversion and Loss Aversion on Equity-Linked Life Insurance With Surrender Guarantees. SSRN Electronic Journal.
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Anne MacKay, Maciej Augustyniak, Carole Bernard & Mary R. Hardy. (2015) Risk Management of Policyholder Behavior in Equity Linked Life Insurance. SSRN Electronic Journal.
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Cody Blaine Hyndman & Menachem Wenger. (2014) Pricing and Hedging GMWB Riders in a Binomial Framework. SSRN Electronic Journal.
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