COMPUTATION OF BONUS IN MULTI-STATE LIFE INSURANCE
From MaRDI portal
Publication:5067893
DOI10.1017/ASB.2021.32zbMATH Open1484.91364arXiv2007.04051OpenAlexW4205891761MaRDI QIDQ5067893FDOQ5067893
Authors: Jamaal Ahmad, Kristian Buchardt, Christian Furrer 
Publication date: 4 April 2022
Published in: ASTIN Bulletin (Search for Journal in Brave)
Abstract: We consider computation of market values of bonus payments in multi-state with-profit life insurance. The bonus scheme consists of additional benefits bought according to a dividend strategy that depends on the past realization of financial risk, the current individual insurance risk, the number of additional benefits currently held, and so-called portfolio-wide means describing the shape of the insurance business. We formulate numerical procedures that efficiently combine simulation of financial risk with classic methods for the outstanding insurance risk. Special attention is given to the case where the number of additional benefits bought only depends on the financial risk. Methods and results are illustrated via a numerical example.
Full work available at URL: https://arxiv.org/abs/2007.04051
Recommendations
market consistent valuationparticipating life insuranceeconomic scenariosportfolio-wide meanswith-profit life insurance
Cites Work
- A theory of bonus life insurance
- On Bonus and Bonus Prognoses in Life Insurance
- Markov chain modeling of policyholder behavior in life insurance and pension
- Stochastic models in life insurance. Translation from the 2nd German edition.
- Title not available (Why is that?)
- Reserves in Life and Pension Insurance
- Nonlinear reserving and multiple contract modifications in life insurance
- A time‐continuous markov chain interest model with applications to insurance
- Fair Pricing of Life Insurance Participating Policies with a Minimum Interest Rate Guaranteed
- Cash flows and policyholder behaviour in the semi-Markov life insurance setup
- Multistate models in health insurance
- Risk-neutral valuation of participating life insurance contracts in a stochastic interest rate environment
- Risk-neutral valuation of participating life insurance contracts
- The impact of longevity and investment risk on a portfolio of life insurance liabilities
- Scenario-based life insurance prognoses in a multi-state Markov model
- Surplus-linked life insurance
- Retrospective reserves and bonus
Cited In (2)
This page was built for publication: COMPUTATION OF BONUS IN MULTI-STATE LIFE INSURANCE
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5067893)
