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Insolvency risk and its impact on the policyholders' investment choices: a mean-variance approach for participating life insurance business in UK

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  • Berketi, Alexandra K.

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  • Berketi, Alexandra K., 1999. "Insolvency risk and its impact on the policyholders' investment choices: a mean-variance approach for participating life insurance business in UK," Insurance: Mathematics and Economics, Elsevier, vol. 25(3), pages 349-372, December.
    • Handle: RePEc:eee:insuma:v:25:y:1999:i:3:p:349-372
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    1. Berketi, Alexandra K. & Macdonald, Angus S., 1999. "The effect of the nature of the liabilities on the solvency and maturity payouts of a UK life office fund: a stochastic evaluation," Insurance: Mathematics and Economics, Elsevier, vol. 24(1-2), pages 117-138, March.
    2. Wilkie, A.D., 1995. "More on a Stochastic Asset Model for Actuarial Use," British Actuarial Journal, Cambridge University Press, vol. 1(5), pages 777-964, December.
    3. Needleman, P.D. & Roff, T.A., 1995. "Asset Shares and their Use in the Financial Management of a With-Profits Fund," British Actuarial Journal, Cambridge University Press, vol. 1(4), pages 603-688, October.
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    Cited by:

    1. Gatzert, Nadine, 2019. "An analysis of transaction costs in participating life insurance under mean–variance preferences," Insurance: Mathematics and Economics, Elsevier, vol. 85(C), pages 185-197.
    2. Bohnert, Alexander & Born, Patricia & Gatzert, Nadine, 2014. "Dynamic hybrid products in life insurance: Assessing the policyholders’ viewpoint," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 87-99.
    3. Chen, An & Fuino, Michel & Sehner, Thorsten & Wagner, Joël, 2022. "Valuation of long-term care options embedded in life annuities," Annals of Actuarial Science, Cambridge University Press, vol. 16(1), pages 68-94, March.

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