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Modelling The Guarantee Liability Under Unit-Linked Contracts

Author

Listed:
  • Cristina CIUMAȘ

    (Faculty of Economics and Business Administration, Babeş-Bolyai University, Cluj-Napoca)

  • Diana-Maria CHIȘ

    (Faculty of Economics and Business Administration, Babeş-Bolyai University, Cluj-Napoca)

Abstract

Unit-linked contracts are wrapped with some death, maturity and accumulation guarantees such as the guaranteed minimum maturity benefit, the guaranteed minimum death benefit, the guaranteed minimum accumulation benefit, the guaranteed minimum income benefit, and/or the guaranteed minimum surrender benefit. According to Romanian legislation which regulates the unit-linked life insurance market, unit-linked life insurance contracts pass most of the investment risk to the policyholder and involve no investment risk for the insurer. Although the Romanian legislation authorizes the Romanian insurers to offer unit-linked contracts without investment guarantees, this research provides a proposal of a theoretical and empirical basis for modelling liabilities for unit-linked insurance contracts with incorporated investment guarantees. The aim of this study is to offer an optimal theoretical approach for simulating liabilities for unit-linked life insurance contracts with incorporated death benefit and maturity benefit.

Suggested Citation

  • Cristina CIUMAȘ & Diana-Maria CHIȘ, 2015. "Modelling The Guarantee Liability Under Unit-Linked Contracts," SEA - Practical Application of Science, Romanian Foundation for Business Intelligence, Editorial Department, issue 7, pages 165-170, April.
    • Handle: RePEc:cmj:seapas:y:2015:i:7:p:165-170
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    References listed on IDEAS

    as
    1. Li, Jing & Szimayer, Alexander, 2010. "The Uncertain Mortality Intensity Framework: Pricing and Hedging Unit-Linked Life Insurance Contracts," Bonn Econ Discussion Papers 13/2010, University of Bonn, Bonn Graduate School of Economics (BGSE).
    2. Li, Jing & Szimayer, Alexander, 2011. "The uncertain mortality intensity framework: Pricing and hedging unit-linked life insurance contracts," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 471-486.
    3. Aniela BOJAN & Emilia-Anuta COROVEI & Ioan TRENCA, 2014. "Retail Payment And Economic Growth For Developed And Emerging European Countries," Review of Economic and Business Studies, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, issue 14, pages 119-127, December.
    4. Brennan, Michael J & Schwartz, Eduardo S, 1979. "Alternative Investment Strategies for the Issuers of Equity Linked Life Insurance Policies with an Asset Value Guarantee," The Journal of Business, University of Chicago Press, vol. 52(1), pages 63-93, January.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Guarantee; Liability; Unit-Linked; Death Benefit; Maturity Benefit;
    All these keywords.

    JEL classification:

    • G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics

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