Computation of bonus in multi-state life insurance
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Computation of bonus in multi-state life insurance. / Ahmad, Jamaal; Buchardt, Kristian; Furrer, Christian.
I: ASTIN Bulletin: The Journal of the IAA, Bind 52, Nr. 1, 2022, s. 291-331.Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt
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TY - JOUR
T1 - Computation of bonus in multi-state life insurance
AU - Ahmad, Jamaal
AU - Buchardt, Kristian
AU - Furrer, Christian
PY - 2022
Y1 - 2022
N2 - 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.
AB - 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.
U2 - 10.1017/asb.2021.32
DO - 10.1017/asb.2021.32
M3 - Journal article
VL - 52
SP - 291
EP - 331
JO - ASTIN Bulletin: The Journal of the IAA
JF - ASTIN Bulletin: The Journal of the IAA
SN - 0515-0361
IS - 1
ER -
ID: 282604436