Saad Mouti
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4 publications
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391 downloads
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804 views
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Financial risk management and the rational lapse strategy in life insurance policies
Aymeric Kalife , Saad Mouti , Lihang Wang -
Understanding guaranteed minimum withdrawal benefit: a study on financial risks and rational lapse strategy
Lihang Wang , Aymeric Kalife , Xiaolu Tan , Bruno Bouchard , Saad Mouti -
Minimizing market impact of hedging insurance liabilities within risk appetite constraints
Aymeric Kalife , Saad Mouti , Xiaolu Tan -
Optimal behavior strategy in the GMIB product
Aymeric Kalife , Gabriela López Ruiz , Saad Mouti , Xiaolu Tan doi: http://dx.doi.org/10.21511/ins.09(1).2018.05Insurance Markets and Companies Volume 9, 2018 Issue #1 pp. 41-69
Views: 681 Downloads: 299 TO CITE АНОТАЦІЯGuaranteed Minimum Income benefit are variable annuities contract, which offer the policyholder the possibility to con- vert the guarantee level into an annuities income for life. This paper focuses on the optimal customer behavior assuming the maximization of the discounted expected future cash flows over the full life of the contract duration. Using convenient scaling properties of the contract value enables to reduce the complexity (dimension) of the problem and to characterize the policyholder’s decision as a function of the contract moneyness across four main choices: zero withdrawals, guaranteed withdrawals, lapse and the income period election. Sensitivities to key drivers such as the market volatility, the interest rate and the roll-up rate illustrate how crucial are not only the environment, but also the product design features, in order to ensure a fair and robust pricing for both customer and life insurer. In particular, the authors find that most empirical contracts are usually underpriced compared to mean optimal behavior pricing, which empirically translated into multiple updates of behavior assumptions and re-reserving by life insurers in the recent years.
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