Pesquisa de referências
Centro de Documentação

The Effect of risk aversion and loss aversion on equity-linked life insurance with surrender guarantees
Recurso electrónico / Electronic resource
MAP20200028932
Hilpert, Christian ‌
The Effect of risk aversion and loss aversion on equity-linked life insurance with surrender guarantees / Christian Hilpert
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
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. 665-687
1. Mercado de seguros ‌. 2. Seguro de vida ‌. 3. Pérdidas ‌. 4. Garantías ‌. 5. Análisis de riesgos ‌. I. Título.