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

Author:

Berketi Alexandra K

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Reference8 articles.

1. Berketi, A.K., Macdonald, A.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 24, 117–138.

2. Eastwood, A.M., Ledlie, M.A., Macdonald, A.S., Pike, D.M., 1997. With-profits maturity payouts, asset shares and smoothing. Transactions of Faculty of Actuaries 44 (IV), 495–575.

3. A.S. Macdonald 1994. A Stochastic Evaluation of Solvency Valuations for Life Offices. Ph.D Thesis, Heriot–Watt University, Edinburgh.

4. Markowitz, H., 1991. Portfolio Selection —Efficient Diversification of Investments. 2nd ed. Cambridge, Mass.: Basil Blackwell.

5. Asset Shares and their use in the financial management of a with-profits fund;Needleman;British Actuarial Journal 1,1995

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