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Alexander Braun
Title
Prof. Dr.
Last Name
Braun
First name
Alexander
Email
alexander.braun@unisg.ch
Phone
+41 71 224 3653
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1 - 5 of 5
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PublicationHow to Derive Optimal Guarantee Levels in Participating Life Insurance ContractsParticipating life insurance contracts are common products in Europe. Their savings component typically exhibits an interest rate guarantee in combination with a surplus participation mechanism. Together, these two features constitute an embedded option. The purpose of this article is to show how an insurance company can maximize policyholder utility by setting the level of the interest rate guarantee in line with his preferences. We develop a general model of life insurance, taking stochastic interest rates, early default and regular premium payments into account. Furthermore, we assume that equity holders receive risk adequate returns on their initial equity contribution. Our findings show that the optimal level for the interest rate guarantee is far below the maximum value typically set by the supervisory authorities and insurance companies.Type: journal articleJournal: Journal of Risk FinanceVolume: 20Issue: 5
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PublicationType: newspaper articleJournal: VersicherungswirtschaftIssue: 4
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PublicationMaximierung des Kundennutzens: Wie sollten Lebensversicherer den Garantiezins wählen?(Institut für Versicherungswirtschaft, 2016-04-01)
;Fischer, MariusType: newspaper articleJournal: I.VW Management-InformationIssue: 1 -
PublicationMaximierung des Kundennutzens: Wie sollte Lebensversicherer den Garantiezins wählen?( 2015)
;Fischer, MariusType: newspaper articleJournal: I.VW Studie -
PublicationCan Decision Theory Explain the Demand for Cliquet-Style Investment Guarantees?(Institut für Versicherungswirtschaft, 2017-08)
;Fischer, MariusType: working paper