As sales of interest-sensitive products grow in insurance markets, determining a sharing rule for allocating investment returns between a policyholder and an insurer is crucial. This paper discusses a theoretical sharing rule for a multi-period contract, reflecting that the insurer’s investment efforts are unobservable and that a stream of information inferring the quality of the efforts exists. Our sharing rule is developed by selecting multi-period excess returns as available information and maximizing the expected utility of the policyholder. The empirical analysis shows that the effect of multi-period excess returns on insurers’ sharing patterns is consistent with the theoretical findings.

中文翻译：

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多期利率敏感保险合同的分摊规则

随着保险市场利率敏感产品销售的增长，确定投保人和保险公司之间分配投资收益的分享规则至关重要。本文讨论了多期合同的理论共享规则，反映了保险公司的投资努力是不可观察的，并且存在推断投资努力质量的信息流。我们的分享规则是通过选择多期超额收益作为可用信息并最大化保单持有人的预期效用来制定的。实证分析表明，多期超额收益对保险公司分享模式的影响与理论结果一致。