Jochen Ruß
University of Ulm
40 Papers
331 Citations
Jochen Ruß is an academic researcher from University of Ulm. The author has contributed to research in topics: Life insurance & Interest rate. The author has an hindex of 14, co-authored 38 publications. Previous affiliations of Jochen Ruß include University of Louisiana at Monroe.
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Papers
On the pricing of longevity-linked securities
TL;DR: In this article, the authors compared and commented on different methods of how to price the first longevity bond and an alternative security design based on the different methods, using data from the United Kingdom to derive prices for the proposed first LBS.
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Risk-neutral valuation of participating life insurance contracts
TL;DR: In this article, the authors investigated the valuation of participating contracts, which are characterized by embedded interest rate guarantees and some bonus distribution rules, under the specific regulatory framework in Germany; however, their analysis can be applied to any insurance market with cliquet-style guarantees.
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The interaction of guarantees, surplus distribution, and asset allocation in with-profit life insurance policies
TL;DR: In this paper, the authors developed a general model and analyzed the impact of interest rate guarantees on the risk of an insurance company and showed that default risk depends on characteristics of the contract, on the insurer's reserve situation and asset allocation, and on management decisions as well as on regulatory parameters.
The impact of policyholder behavior on pricing, hedging, and hedge efficiency of withdrawal benefit guarantees in variable annuities
TL;DR: In this article, the impact of policyholder behavior on pricing, hedging and hedge efficiency of variable annuities with guaranteed lifetime withdrawal benefits was analyzed, covering deterministic behavior, behavior depending on the moneyness of the guarantee, and optimal (value maximizing) behavior.
The Impact of Stochastic Volatility on Pricing, Hedging, and Hedge Efficiency of Withdrawal Benefit Guarantees in Variable Annuities
TL;DR: In this article, the impact of stochastic equity volatility on pricing and hedging of variable annuities is investigated, and different dynamic hedging strategies for delta and vega risks are compared.
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