Estimation of future discretionary benefits in traditional life insurance

DOI10.1017/ASB.2022.16zbMATH Open1506.91152arXiv2101.06077OpenAlexW3124276441MaRDI QIDQ5045340FDOQ5045340

Authors: Florian Gach, Simon Hochgerner 

Publication date: 4 November 2022

Published in: ASTIN Bulletin (Search for Journal in Brave)

Abstract: In the context of life insurance with profit participation, the future discretionary benefits ($FDB$), which are a central item for Solvency~II reporting, are generally calculated by computationally expensive Monte Carlo algorithms. We derive analytic formulas to estimate lower and upper bounds for the $FDB$. This yields an estimation interval for the $FDB$, and the average of lower and upper bound is a simple estimator. These formulae are designed for real world applications, and we compare the results to publicly available reporting data.

Full work available at URL: https://arxiv.org/abs/2101.06077

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zbMATH Keywords

Solvency IImarket consistent valuationfuture discretionary benefits

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

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Cited In (2)

• Title not available (Why is that?)
• Analytical validation formulas for best estimate calculation in traditional life insurance

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