Centro de Documentacion de Fundación MAPFRE - The Effect of risk aversion and loss aversion on equity-linked life insurance with surrender guarantees

Notes: Sumario: We price equity-linked life insurance with surrender guarantees and account for risk preferences in the form of risk-averse and loss-averse policyholders in continuous time. Risk-averse policyholders surrender their policy for higher equity index values. Compared to optimally surrendered policies, this behavior creates substantial policy value losses. In contrast, loss-averse policyholders surrender once the surrender benefit realizes a gain but keep under-performing policies. This disposition effect reduces the policy value relative to both optimally surrendered policies and policies surrendered by risk-averse policyholders. Insurers in competitive markets need to estimate their policyholders' risk preferences accurately.Related records: En: The Journal of risk and insurance. - Nueva York : The American Risk and Insurance Association, 1964- = ISSN 0022-4367. - 01/09/2020 Volumen 87 Número 3 - septiembre 2020 , p. 665-687Materia / lugar / evento: Mercado de seguros Seguro de vida Pérdidas Garantías Análisis de riesgos Other categories: 6

Rights: In Copyright (InC)

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