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

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      <subfield code="a">The Effect of risk aversion and loss aversion on equity-linked life insurance with surrender guarantees</subfield>
      <subfield code="c">Christian Hilpert</subfield>
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      <subfield code="a">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.</subfield>
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      <subfield code="a">Mercado de seguros</subfield>
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      <subfield code="a">Seguro de vida</subfield>
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      <subfield code="a">Análisis de riesgos</subfield>
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      <subfield code="t">The Journal of risk and insurance</subfield>
      <subfield code="d">Nueva York : The American Risk and Insurance Association, 1964-</subfield>
      <subfield code="x">0022-4367</subfield>
      <subfield code="g">01/09/2020 Volumen 87 Número 3 - septiembre 2020 , p. 665-687</subfield>
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