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The Effect of risk aversion and loss aversion on equity-linked life insurance with surrender guarantees

Recurso electrónico / Electronic resource
MARC record
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003  MAP
005  20200921183700.0
008  200921e20200901usa|||p |0|||b|eng d
040  ‎$a‎MAP‎$b‎spa‎$d‎MAP
084  ‎$a‎6
100  ‎$0‎MAPA20150002419‎$a‎Hilpert, Christian
24514‎$a‎The Effect of risk aversion and loss aversion on equity-linked life insurance with surrender guarantees‎$c‎Christian Hilpert
520  ‎$a‎We 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.
650 4‎$0‎MAPA20080586294‎$a‎Mercado de seguros
650 4‎$0‎MAPA20080570590‎$a‎Seguro de vida
650 4‎$0‎MAPA20080548575‎$a‎Pérdidas
650 4‎$0‎MAPA20080551001‎$a‎Garantías
650 4‎$0‎MAPA20080588953‎$a‎Análisis de riesgos
7730 ‎$w‎MAP20077000727‎$t‎The Journal of risk and insurance‎$d‎Nueva York : The American Risk and Insurance Association, 1964-‎$x‎0022-4367‎$g‎01/09/2020 Volumen 87 Número 3 - septiembre 2020 , p. 665-687