Life insurance in a contingent claim framework: Pricing and regulatory implications |
| |
Authors: | Eric Briys François De Varenne |
| |
Institution: | 1. Groupe HEC, F-78350, Jouy-en-Josas, France 2. Groupe HEC, France 3. FFSA, France
|
| |
Abstract: | In this paper we develop a contingent claim model to evaluate the equity and liabilities of a life insurance company. The limited liability of shareholders is explicitly modelled. We focus on a specific type of life insurance policy—namely, the profit-sharing policy. In this policy, the policyholder is entitled to a guaranteed interest rate and a percentage of the company's yearly financial revenues. The implicit equilibrium interest rate and profit-sharing ratio are derived and analyzed. We finally discuss regulatory measures frequently encountered in the life insurance business such as rate ceilings, capital ratios, and asset restrictions. |
| |
Keywords: | |
本文献已被 SpringerLink 等数据库收录! |
|