On the management of life insurance company risk by strategic choice of product mix, investment strategy and surplus appropriation schemes

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      <subfield code="a">On the management of life insurance company risk by strategic choice of product mix, investment strategy and surplus appropriation schemes</subfield>
      <subfield code="c">Alexander Bohnerta, Nadine Gatzerta, Peter Løchte Jørgensenb</subfield>
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      <subfield code="a">The aim of this paper is to analyze the impact of management¿s strategic choice of asset and liability composition in life insurance on shortfall risk and the shareholders¿ fair risk charge. In contrast to previous work, we focus on the effectiveness of management decisions regarding the product mix and the riskiness of the asset side under different surplus appropriation schemes. We propose a model setting that comprises temporary life annuities and endowment insurance contracts. Our numerical results show that the effectiveness of management decisions in regard to risk reduction strongly depends on the surplus appropriation scheme offered to the customer and their impact on guaranteed benefit payments, which thus presents an important control variable for the insurer</subfield>
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      <subfield code="w">MAP20077100574</subfield>
      <subfield code="t">Insurance : mathematics and economics</subfield>
      <subfield code="d">Oxford : Elsevier, 1990-</subfield>
      <subfield code="x">0167-6687</subfield>
      <subfield code="g">12/01/2015 Volumen 60 Número  - enero 2015 </subfield>
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