Enhanced annuities and the impact of individual underwriting on an insurer's profit situation

Gudrun Hoermann and Jochen Ruß

Insurance: Mathematics and Economics, 2008, vol. 43, issue 1, 150-157

Abstract: We analyze the effect of enhanced annuities on an insurer engaging in individual underwriting. We use a frailty model for heterogeneity of the insured population and model individual underwriting by a random variable that positively correlates with the corresponding frailty factor. For a given annuity portfolio, we analyze the effect of the quality of the underwriting on the insurer's profit/loss situation and the impact of adverse selection effects.

Date: 2008
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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:43:y:2008:i:1:p:150-157

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