Please use this identifier to cite or link to this item: http://hdl.handle.net/10077/29490
Title: On the optimal design of participating life insurance contracts
Authors: Bacinello, Anna Rita
Corsato, Chiara
Millossovich, Pietro
Keywords: Optimal contractsParticipating life insuranceDefault riskMortality riskMortality risk; Fairness
Issue Date: 2020
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
Series/Report no.: DEAMS Research Paper Series, 2020, 1
Pages: 23
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.
Type: Book
URI: http://hdl.handle.net/10077/29490
eISBN: 978-88-5511-121-8
License: Attribution-NonCommercial-NoDerivatives 4.0 Internazionale
License URL: http://creativecommons.org/licenses/by-nc-nd/4.0/
Appears in Collections:DEAMS Research Paper Series 2020, 1

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This item is licensed under a Creative Commons License Creative Commons