The Policyholder’s static and dynamic decision making of life insurance and pension payments

Kraft, Holger; Steffensen, Mogens

doi:10.1007/s11857-008-0060-4

Cited by 2 publications

(3 citation statements)

References 22 publications

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“…We finalize this section on the verification by comparing the system of differential equations for f and a with those obtained by Kraft and Steffensen [2008b] and further specified in Kraft and Steffensen [2008a]. They also have functions f and a like ours, but things are simpler since the risk aversion γ does not depend on the state.…”

Section: Comparisonmentioning

confidence: 92%

“…Further, the artificial interest rate r is again the combination of the (usual) market terms and then the multistate market impact which is, simply, the difference between the arithmetic and the geometric means of exit transition intensities. We mention here that this interpretation of the artificial assumptions underlying f in terms of geometric and arithmetic means is mentioned by neither Kraft and Steffensen [2008b] nor Kraft and Steffensen [2008a]. Apart from giving insight, it also helps in the implementation phase.…”

Section: Comparisonmentioning

confidence: 93%

“…This is the same system as the one obtained in Kraft and Steffensen [2008b]. We note as it was done both there and in Kraft and Steffensen [2008a] that we can write f and a as certain conditional expected present values. The function f is the value of future utility weights under a measure with intensities μ and state-dependent interest rates r, and the function a is the financial value of future income, that is…”

Section: Comparisonmentioning

confidence: 96%

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Optimal consumption, investment, and insurance under state-dependent risk aversion

Steffensen

Søe

2023

ASTIN Bull.

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We formalize a consumption–investment–insurance problem with the distinction of a state-dependent relative risk aversion. The state dependence refers to the state of the finite state Markov chain that also formalizes insurable risks such as health and lifetime uncertainty. We derive and analyze the implicit solution to the problem, compare it with special cases in the literature, and illustrate the range of results in a disability model where the relative risk aversion is preserved, decreases, or increases upon disability.

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Section: Comparisonmentioning

confidence: 92%

Section: Comparisonmentioning

confidence: 93%

Section: Comparisonmentioning

confidence: 96%

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Optimal consumption, investment, and insurance under state-dependent risk aversion

Steffensen

Søe

2023

ASTIN Bull.

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Research on lapse in life insurance: what has been done and what needs to be done?

Eling

Kochanski

2013

The Journal of Risk Finance

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Access to this document was granted through an Emerald subscription provided by emerald-srm: 409465 [] For AuthorsIf you would like to write for this, or any other Emerald publication, then please use our Emerald for Authors service information about how to choose which publication to write for and submission guidelines are available for all. Please visit www.emeraldinsight.com/authors for more information. About Emerald www.emeraldinsight.comEmerald is a global publisher linking research and practice to the benefit of society. The company manages a portfolio of more than 290 journals and over 2,350 books and book series volumes, as well as providing an extensive range of online products and additional customer resources and services.Emerald is both COUNTER 4 and TRANSFER compliant. The organization is a partner of the Committee on Publication Ethics (COPE) and also works with Portico and the LOCKSS initiative for digital archive preservation. AbstractPurpose -The purpose of this paper is to review research on lapse in life insurance and to outline potential new areas of research in this field. Design/methodology/approach -The authors consider theoretical lapse rate models as well as empirical research on life insurance lapse and provide a classification of these two streams of research. More than 50 theoretical and empirical papers from this important field of research are reviewed. Challenges for lapse rate modeling, lapse risk mitigation techniques, and possible trends in future lapse behavior are discussed. Findings -Lapse rate modeling has been a very active field of research in the last years, as evidenced by the 44 papers on lapse modeling considered in this review. Moreover, a fair amount of empirical work (another 12 papers) has been done, especially on the issue of how environmental variables affect lapse. Research on individual policyholder and contract information is more scarce, since such information is typically treated as confidential. Practical implications -The risks arising from lapse are of high economic importance. Lapsation is thus of interest not only to academics, but is highly relevant for the industry, regulators, and policymakers, especially in regard to designing an appropriate regulatory environment. Lapsation also impacts many actuarial tasks, such as product design, pricing, hedging, and risk management. A review of the recent literature might be helpful for these tasks. Originality/value -To the best of the authors' knowledge, this is the first structured review of the increasingly important literature on life insurance lapsation. Next to the structured review of the existing models and the empirical evidence, the paper also contributes to the literature by discussing challenges for lapse rate modeling and possible trends.

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The Policyholder’s static and dynamic decision making of life insurance and pension payments

Cited by 2 publications

References 22 publications

Optimal consumption, investment, and insurance under state-dependent risk aversion

Optimal consumption, investment, and insurance under state-dependent risk aversion

Research on lapse in life insurance: what has been done and what needs to be done?

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