186
Views
2
CrossRef citations to date
0
Altmetric
Longevity 12 Articles

Optimal Portfolio Choice in Retirement With Participating Life Annuities

REFERENCES

  • Ballotta, L. 2005. A Lévy process-based framework for the fair valuation of participating life insurance contracts. Insurance: Mathematics and Economics 37 (2): 173–96.
  • Barbarin, J., and P. Devolder. 2005. Risk measure and fair valuation of an investment guarantee in life insurance. Insurance: Mathematics and Economics 37 (2): 297–323.
  • Bauer, D., R. Kiesel, A. Kling, and J. Ruß. 2006. Risk-neutral valuation of participating life insurance contracts. Insurance: Mathematics and Economics 39 (2): 171–83.
  • Berdin, E., and H. Gründl. 2015. The Effects of a low interest rate environment on life insurers. Geneva Papers on Risk and Insurance—Issues and Practice 40 (3): 385–415.
  • Bohnert, A., and N. Gatzert. 2012. Analyzing surplus appropriation schemes in participating life insurance from the insurer’s and the policyholder’s perspective. Insurance: Mathematics and Economics 50 (1): 64–78.
  • Bohnert, A., and N. Gatzert. 2014. Fair valuation and risk assessment of dynamic hybrid products in life insurance: A portfolio consideration. Geneva Papers on Risk and Insurance—Issues and Practice 39 (1): 148–72.
  • Briys, E., and F. de Varenne. 1997. On the risk of life insurance liabilities: Debunking some common pitfalls. Journal of Risk and Insurance 64 (4): 673–94.
  • Bruszas, S., B. Kaschützke, R. Maurer, and I. Siegelin. 2018. Unisex pricing of German participating life annuities—Boon or bane for customer and insurance company? Insurance: Mathematics and Economics 78 (1): 230–45.
  • Cairns, A. J., D. Blake, and K. Dowd. 2006. A two-factor model for stochastic mortality with parameter uncertainty: Theory and calibration. Journal of Risk and Insurance 73 (4): 687–718.
  • Eckert, J., N. Gatzert, and M. Martin. 2016. Valuation and risk assessment of participating life insurance in the presence of credit risk. Insurance: Mathematics and Economics 71 (1): 382–93.
  • Eling, M., and S. Holder. 2013. The value of interest rate guarantees in participating life insurance contracts: Status quo and alternative product design. Insurance: Mathematics and Economics 53 (3): 491–503.
  • Gatzert, N., I. Holzmüller, and H. Schmeiser. 2012. Creating customer value in participating life insurance. Journal of Risk and Insurance 79 (3): 645–70.
  • Gatzert, N., C. Huber, and H. Schmeiser. 2011. On the valuation of investment guarantees in unit-linked life insurance: A customer perspective. Geneva Papers on Risk and Insurance—Issues and Practice 36 (1): 3–29.
  • Gatzert, N., and A. Kling. 2007. Analysis of participating life insurance contracts: A unification approach. Journal of Risk and Insurance 74 (3): 547–70.
  • Grosen, A., and P. L. Jørgensen. 2000. Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options and bonus policies. Insurance: Mathematics and Economics 26 (1): 37–57.
  • Grosen, A., and P. L. Jørgensen. 2002. Life insurance liabilities at market value: An analysis of insolvency risk, bonus policy, and regulatory intervention rules in a barrier option framework. Journal of Risk and Insurance 69 (1): 63–91.
  • Horneff, V., B. Kaschützke, R. Maurer, and R. Rogalla. 2014. Welfare implications of product choice regulation during the payout phase of funded pensions. Journal of Pension Economics and Finance 13 (3): 272–96.
  • Horneff, V., R. Maurer, O. S. Mitchell, and R. Rogalla. 2015. Optimal life cycle portfolio choice with variable annuities offering liquidity and investment downside protection. Insurance: Mathematics and Economics 63 (1): 91–107.
  • Horneff, W., R. Maurer, O. S. Mitchell, and M. Stamos. 2009. Asset allocation and location over the life cycle with survival-contingent payouts. Journal of Banking and Finance 33 (9): 1688–99.
  • Horneff, W., R. Maurer, O. S. Mitchell, and M. Stamos. 2010. Variable payout annuities and dynamic portfolio choice in retirement. Journal of Pension Economics and Finance 9 (2): 163–83.
  • Horneff, W., R. Maurer, and M. Stamos. 2008a. Optimal gradual annuitization: Quantifying the costs of switching to annuities. Journal of Risk and Insurance 75 (4): 1019–38.
  • Horneff, W., R. Maurer, and M. Stamos. 2008b. Life-cycle asset allocation with annuity markets. Journal of Economic Dynamics and Control 32 (11): 3590–612.
  • Huang, H., and M. A. Milevsky. 2008. Portfolio choice and mortality-contingent claims: The general HARA case. Journal of Banking and Finance 32 (11): 2444–52.
  • Hubener, A., R. Maurer, and R. Rogalla. 2014. Optimal portfolio choice with annuities and life insurance for retired couples. Review of Finance 18 (1): 147–88.
  • Inkmann, J., P. Lopez, and A. Michaelides. 2011. How deep is the annuity market participation puzzle? Review of Financial Studies 24 (1): 279–319.
  • Inkmann, J., and A. Michaelides. 2012. Can the life insurance market provide evidence for a bequest motive? Journal of Risk and Insurance 79 (3): 671–95.
  • Jørgensen, P. L. 2004. On accounting standards and fair valuation of life insurance and pension liabilities. Scandinavian Actuarial Journal 2004 (5): 372–94.
  • Kling, A., A. Richter, and J. Ruß. 2007. The impact of surplus distribution on the risk exposure of with-profit life insurance policies including interest rate guarantees. Journal of Risk and Insurance 74 (3): 571–89.
  • Maurer, R., O. S. Mitchell, R. Rogalla, and V. Kartashov. 2013a. Lifecycle portfolio choice with systematic longevity risk and variable investment-linked deferred annuities. Journal of Risk and Insurance 80 (3): 649–76.
  • Maurer, R., R. Rogalla, and I. Siegelin. 2013b. Participating payout life annuities: Lessons from Germany. ASTIN Bulletin 43(2): 159–87.
  • Milevsky, M. A., and V. R. Young. 2007. Annuitization and asset allocation. Journal of Economic Dynamics and Control 31 (9): 3138–77.
  • Reuß, A., J. Ruß, and J. Wieland. 2016. Participating life insurance products with alternative guarantees: Reconciling policyholders’ and insurers’ interests. Risks 4 (2): 1–18.
  • Schmeiser, H., and J. Wagner. 2011. A joint valuation of premium payment and surrender options in participating life insurance contracts. Insurance: Mathematics and Economics 49 (3): 580–96.
  • Schmeiser, H., and J. Wagner. 2015. A proposal on how the regulator should set minimum interest rate guarantees in participating life insurance contracts. Journal of Risk and Insurance 82 (3): 659–686.
  • Wolfsdorf, K. 1997. Versicherungsmathematik, Teil 1 Personenversicherungsmathematik. Stuttgart, Germany: Teubner.
  • Zaglauer, K., and D. Bauer. 2008. Risk-neutral valuation of participating life insurance in a stochastic interest rate environment. Insurance: Mathematics and Economics 43 (1): 29–40.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.