RISK-MINIMIZATION FOR LIFE INSURANCE LIABILITIES WITH DEPENDENT MORTALITY RISK

AbstractA unit-linked life insurance contract is a contract where the insurance benefits depend on the price of some specific traded stocks. We consider a model describing the uncertainty of the financial market and a portfolio of insured individuals simultaneously. Due to incompleteness the insurance claims cannot be hedged completely by trading stocks and bonds only, leaving some risk to the insurer. The theory of risk-minimization is briefly reviewed and applied after a change of measure. Risk-minimizing trading strategies and the associated intrinsic risk processes are determined for different types of unit-linked contracts. By extending the model to the situation where certain reinsurance contracts on the insured lives are traded, the direct insurer can eliminate the risk completely. The corresponding self-financing strategies are determined.

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Discrete-time local risk minimization of payment processes and applications to equity-linked life-insurance contracts

Insurance Mathematics and Economics ◽

10.1016/j.insmatheco.2011.10.001 ◽

2012 ◽

Vol 50 (1) ◽

pp. 1-11 ◽

Cited By ~ 4

Author(s):

Jérôme Pansera

Keyword(s):

Discrete Time ◽

Life Insurance ◽

Risk Minimization ◽

Insurance Contracts ◽

Local Risk

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Consideration of Marital Status in a Mortality Model and its Application for Mortality Risk Management

Asia-Pacific Journal of Risk and Insurance ◽

10.1515/apjri-2015-0018 ◽

2016 ◽

Vol 10 (2) ◽

Author(s):

Hyuk-Sung Kwon

Keyword(s):

Risk Factors ◽

Marital Status ◽

Mortality Risk ◽

Life Insurance ◽

Pension Plans ◽

Never Married ◽

Mortality Model ◽

Logistic Regression Method ◽

Mortality Table ◽

Actuarial Model

AbstractAs a variety of mortality risk factors have been identified by previous studies, it is desirable that these factors are reflected in mortality (longevity) risk assessments for life insurance, individual annuities, and pension plans. In this study, an extended traditional mortality table that accommodates marital status, which is one of the important risk factors in terms of mortality, is considered. A logistic regression method is used to model the mortality of groups of people with four different marital statuses–never married, married, widowed, and divorced. The analyses are based on data regarding mortality and changes of marital status in Korea. The results of the analyses that are based on the developed mortality model suggest that the information on risk factors must be reflected in an actuarial model to improve the evaluations and monitoring of risk for the portfolios of relevant insurance products.

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Valuation and hedging of life insurance liabilities with systematic mortality risk

Insurance Mathematics and Economics ◽

10.1016/j.insmatheco.2006.02.007 ◽

2006 ◽

Vol 39 (2) ◽

pp. 193-217 ◽

Cited By ~ 140

Author(s):

Mikkel Dahl ◽

Thomas Møller

Keyword(s):

Mortality Risk ◽

Life Insurance

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The impact of hyporesponsiveness to erythropoietin-stimulating agents on time-dependent mortality risk among CKD stage 5D patients: a single-center cohort study

Clinical and Experimental Nephrology ◽

10.1007/s10157-012-0659-6 ◽

2012 ◽

Vol 17 (1) ◽

pp. 106-114 ◽

Cited By ~ 5

Author(s):

Junichi Ishigami ◽

Tsuyoshi Onishi ◽

Satomi Shikuma ◽

Wataru Akita ◽

Yoshihiro Mori ◽

...

Keyword(s):

Cohort Study ◽

Mortality Risk ◽

Time Dependent ◽

Single Center ◽

Ckd Stage ◽

The Impact ◽

Erythropoietin Stimulating Agents ◽

Dependent Mortality

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Life Insurance and Subsistence Consumption with an Exponential Utility

Mathematics ◽

10.3390/math9040358 ◽

2021 ◽

Vol 9 (4) ◽

pp. 358

Author(s):

Ho-Seok Lee

Keyword(s):

Mortality Risk ◽

Life Insurance ◽

Explicit Solution ◽

Utility Maximization ◽

Exponential Utility ◽

Maximization Problem ◽

Duality Method ◽

Utility Maximization Problem

In this paper, we derive an explicit solution to the utility maximization problem of an individual with mortality risk and subsistence consumption constraint. We adopt an exponential utility for the individual’s consumption and the martingale and duality method is employed. From the explicit solution, we exhibit how the mortality intensity and subsistence consumption constraint affect, separately and together, portfolio, consumption and life insurance purchase.

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