Fair valuation of cliquet-style return guarantees in (homogeneous and) heterogeneous life insurance portfolios

Hieber, P; Natolski, J; Werner, R

Hieber, P (reprint author), Tech Univ Munich, Pk Ring 11, D-85748 Garching, Germany.; Hieber, P (reprint author), Univ Ulm, Inst Insurance Sci, Helmholtzstr 20, D-89081 Ulm, Germany.

SCANDINAVIAN ACTUARIAL JOURNAL, 2019; (6): 478

Abstract

Participating life insurance contracts allow the policyholder to participate in the annual return of a reference portfolio. Additionally, they are oft......

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