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On the optimal design of participating life insurance contracts
Bacinello, Anna Rita
Corsato, Chiara
Millossovich, Pietro
2020
Abstract
In this paper we study how policyholders and equityholders contribute to the formation of a life insurance company issuing participating contracts. The structure of these contracts is stylized and features a guaranteed rate of return and a terminal bonus, as in the pioneering model by Briys and de Varenne (1994, 1997). Policyholders aim at maximizing their preferences by choosing the leverage ratio and the guaranteed level, while being subject to regulatory constraints of fair valuation and solvency. We provide conditions under which non trivial contracts exist and analyze their properties.
Series
DEAMS Research Paper Series, 2020, 1
Publisher
EUT Edizioni Università di Trieste
Source
Anna Rita Bacinello, Chiara Corsato, Pietro Millossovich, "On the optimal design of participating life insurance contracts", Trieste, EUT Edizioni Università di Trieste, 2020, pp. 23
Languages
en
Rights
Attribution-NonCommercial-NoDerivatives 4.0 Internazionale