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AuthorSehner, Thorstendc.contributor.author
Date of accession2022-01-26T12:56:23Zdc.date.accessioned
Available in OPARU since2022-01-26T12:56:23Zdc.date.available
Year of creation2021dc.date.created
Date of first publication2022-01-26dc.date.issued
AbstractThis dissertation is set in the context of life and long-term care (LTC) insurance and focuses on the valuation and the design of related products, each concentrating on a separate matter. For instance, innovative retirement products incorporating components of annuities and / or of the resurrected so-called tontines are considered. For their valuation, besides the required pricing by the insurer, the utility assessment from the customer’s perspective is also included, where longevity risk is explicitly taken into account as one of the major uncertainty factors in life insurance. Completely new product proposals are also submitted here like the antine, a combination of an annuity and a tontine, or the unit-linked tontine. Moreover, the payment structures are determined, so that the individual’s benefit is optimized. In addition, (fair) surplus participating contracts are addressed which are evaluated in a market-consistent manner and again under longevity risk. Heterogeneity between the policyholders is factored in when stipulating the contracts’ payouts. Regarding LTC insurance, care options embedded in policies and their intrinsic qualities are examined. They are priced not only in an actuarial way but also based on the policyholder’s utility. Furthermore, the product parameters are identified, so that the contract is concluded.dc.description.abstract
Languageendc.language.iso
PublisherUniversität Ulmdc.publisher
Has partChen, A., Fuino, M., Sehner, T., and Wagner, J. (2021). Valuation of long-term care options embedded in life annuities. Annals of Actuarial Science, 1-27. URL: https://doi.org/10.1017/S1748499521000063. DOI: 10.1017/S1748499521000063.dc.relation.haspart
Has partChen, A., Rach, M., and Sehner, T. (2020). On the optimal combination of annuities and tontines. ASTIN Bulletin, 50(1): 95-129. URL: https://doi.org/10.1017/asb.2019.37. DOI: 10.1017/asb.2019.37.dc.relation.haspart
Has partBacinello, A. R., Chen, A., Sehner, T., and Millossovich, P. (2021). On the market-consistent valuation of participating life insurance heterogeneous contracts under longevity risk. Risks, 9(1): 20. URL: https://doi.org/10.3390/risks9010020. DOI: 10.3390/risks9010020.dc.relation.haspart
LicenseLizenz Adc.rights
Link to license texthttps://oparu.uni-ulm.de/xmlui/licenseA_v1dc.rights.uri
KeywordLong-term caredc.subject
KeywordAnnuitydc.subject
KeywordOptimal retirement productsdc.subject
KeywordUtilitydc.subject
KeywordLongevity riskdc.subject
KeywordHeterogeneous policyholdersdc.subject
Dewey Decimal GroupDDC 510 / Mathematicsdc.subject.ddc
LCSHLife insurancedc.subject.lcsh
LCSHValuationdc.subject.lcsh
LCSHProduct designdc.subject.lcsh
TitleLife and long-term care insurance : valuation and product designdc.title
Resource typeDissertationdc.type
Date of acceptance2021-10-21dcterms.dateAccepted
RefereeChen, Andc.contributor.referee
RefereeZwiesler, Hans-Joachimdc.contributor.referee
DOIhttp://dx.doi.org/10.18725/OPARU-41176dc.identifier.doi
PPN1787281787dc.identifier.ppn
URNhttp://nbn-resolving.de/urn:nbn:de:bsz:289-oparu-41252-6dc.identifier.urn
GNDLebensversicherungdc.subject.gnd
GNDLangzeitbetreuungdc.subject.gnd
GNDVariable Annuitydc.subject.gnd
GNDTontinedc.subject.gnd
GNDErwarteter Nutzendc.subject.gnd
FacultyFakultät für Mathematik und Wirtschaftswissenschaftenuulm.affiliationGeneral
InstitutionInstitut für Versicherungswissenschaftenuulm.affiliationSpecific
Grantor of degreeFakultät für Mathematik und Wirtschaftswissenschaftenuulm.thesisGrantor
DCMI TypeTextuulm.typeDCMI
CategoryPublikationenuulm.category
Bibliographyuulmuulm.bibliographie


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