A Proposal on How the Regulator Should Set Minimum Interest Rate Guarantees in Participating Life Insurance Contracts

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Etat: Public
Version: Author's accepted manuscript
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ID Serval
serval:BIB_6FF2CC1EBFC6
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Titre
A Proposal on How the Regulator Should Set Minimum Interest Rate Guarantees in Participating Life Insurance Contracts
Périodique
Journal of Risk and Insurance
Auteur⸱e⸱s
Schmeiser H., Wagner J.
ISSN
0022-4367
Statut éditorial
Publié
Date de publication
2015
Peer-reviewed
Oui
Volume
82
Numéro
3
Pages
659-686
Langue
anglais
Résumé
We consider a contingent claim model framework for participating life insurance contracts and assume a competitive market with minimum solvency requirements as provided by Solvency II. In a first step, the implications of the regulator's imposing a particular interest rate guarantee on the insurer's asset allocation are analyzed in a reference situation. We study the sensitivity of the interaction between the interest rate guarantee and the asset allocation when the risk-free interest rate changes. Particular attention is paid to the current market situation where the guaranteed interest rate is often close to the risk-free interest rate. In a second step, we assess at what level the interest rate guarantee should be set by the regulator in order to maximize policyholders' utility. We show that the results yielded by the proposed concept to derive an optimal value for the interest rate guarantee are very stable for various model parameters.
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Création de la notice
06/07/2014 9:38
Dernière modification de la notice
28/09/2020 10:52
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