A theory of bonus life insurance

DOI10.1007/S007800050067zbMath0939.62108OpenAlexW2031321758MaRDI QIDQ1979067

Ragnar Norberg

Publication date: 24 May 2000

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s007800050067

zbMATH Keywords

Markov chainsmortalitystochastic interesttransition intensitiesconditional modelreservesbonus theorytechnical surplus

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20)

Related Items (28)

Entrance times of random walks: with applications to pension fund modeling ⋮ Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts ⋮ COMPUTATION OF BONUS IN MULTI-STATE LIFE INSURANCE ⋮ Statistical Estimation Techniques in Life and Disability Insurance—A Short Overview ⋮ Dynamics of state-wise prospective reserves in the presence of non-monotone information ⋮ Stress scenario generation for solvency and risk management ⋮ Integral and differential equations for the moments of multistate models in health insurance ⋮ Optimal hedging of demographic risk in life insurance ⋮ Longevity hedge effectiveness using socioeconomic indices ⋮ Risk comparisons of premium rules: Optimality and a life insurance study ⋮ SAFE-SIDE SCENARIOS FOR FINANCIAL AND BIOMETRICAL RISK ⋮ Pricing Guaranteed Life Insurance Participating Policies with Annual Premiums and Surrender Option ⋮ On Bonus and Bonus Prognoses in Life Insurance ⋮ On Merton’s Problem for Life Insurers ⋮ Ragnar Norberg (1945–2017): an actuary of a unique kind ⋮ Retrospective reserves and bonus ⋮ Investing for retirement through a with-profits pension scheme: a client's perspective ⋮ Dependent interest and transition rates in life insurance ⋮ Time-dynamic evaluations under non-monotone information generated by marked point processes ⋮ Guaranteed Investment Contracts: Distributed and Undistributed Excess Return ⋮ Quadratic Optimization of Life and Pension Insurance Payments ⋮ Minimum Rate of Return Guarantees: The Danish Case ⋮ Market Based Tools for Managing the Life Insurance Company ⋮ Multivariate higher order moments in multi-state life insurance ⋮ Surplus-linked life insurance ⋮ A general surplus decomposition principle in life insurance ⋮ Reserve-dependent Management Actions in life insurance ⋮ On the decomposition of an insurer's profits and losses

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