This paper introduces a capital market-based financial guaranty system as an alternative to current insurance guaranty funds and deposit insurance systems. The guaranty system secures clients’ claims for the case of default of the financial company by means of a special purpose vehicle which issues bonds to investors. In a [...]
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Posted on February 1st, 2011
Posted on October 28th, 2010
The fair pricing of explicit and implicit option in life insurance products has got broad attention in the academic literature during the past years. Especially, participating life insurance (PLI) contracts have been in focus. These policies are typically characterized by a term life insurance, a minimum interest rate guarantee, and bonus participation rules [...] Posted on October 14th, 2010
The introduction of an insurance guaranty scheme can have significant influence on the pricing and capital structures in a competitive market. The aim of this paper is to study this effect on competitive equity-premium combinations while considering a framework with policyholders and equityholders where guaranty fund charges are volume-based, as levied in existing [...] Posted on April 5th, 2010
A Joint Valuation of Premium Payment and Surrender Options in Participating Life Insurance ContractsIn addition to an interest rate guarantee and annual surplus participation, life insurance contracts typically embed the right to stop premium payments during the term of the contract (paid-up option), to resume payments later (resumption option), or to terminate the contract early (surrender option). Terminal guarantees are on benefits payable upon death, survival [...] 1 pages
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