Purpose–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 …

The article presents a review of structural models of policyholder behavior in life insurance.
We first discuss underlying drivers of policyholder behavior in theory and survey the …

This paper proposes a unified framework for measuring and managing longevity risk.
Specifically, we develop a flexible framework for valuing survivor derivatives like forwards …

In recent years, market-consistent valuation approaches have gained an increasing
importance for insurance companies. This has triggered an increasing interest among …

The Danish pension market of life-cycle products have expanded considerably since its
introduction in the beginning of the millennium. The market is maturing and pensioners have …

Life insurers typically grant policyholders a surrender option. We demonstrate that the
resulting lapse risk could materialise in the form of a" policyholder run" if interest rates were …

Innovative Lebensversicherungsprodukte wie fondsgebundene Lebensversicherungen,
Hybrid-Lebensversicherungen und Variable Annuities erfreuen sich rasch zunehmender …

This paper considers the pricing problem of an equity-linked guaranteed minimum death
benefit product with an expiration time of T, under the assumption of allowing surrender. To …

Life insurance contracts typically possess various embedded options. In this paper, we focus
on common options with early exercise features such as paid-up options, resumption …

A termination rule based on a critical funding ratio is proposed for a pension guarantee fund
(PGF) that considers closing an underfunded pension plan. This ratio is determined by …