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European Actuarial Journal

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05.06.2023 | Original Research Paper

Efficient projections of with-profit life insurance using lumping

verfasst von: Ida E. Andersen, Alexander S. Lollike

Erschienen in: European Actuarial Journal | Ausgabe 1/2024

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Abstract

We consider projections of multi-state with-profit life insurance policies in a simulated stochastic market where dividends are assumed to have a certain structure, giving access to a system of differential equations that characterises the expected retrospective reserve. These differential equations are computationally impractical in situations where insurance risk and financial risk are not independent, which are situations of particular interest due to the possibly severe combined effect on the insurance portfolio. We propose a smaller system of approximating differential equations, by reducing the state-space of the insurance policy and the number of policies.

Vorheriger Artikel The impact of dependencies between climate risks on the asset and liability side of non-life insurers

Nächster Artikel Valuation of mixed life insurance contracts under stochastic correlated mortality and interest rates

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Titel: Efficient projections of with-profit life insurance using lumping
verfasst von: Ida E. Andersen
Alexander S. Lollike
Publikationsdatum: 05.06.2023
Verlag: Springer Berlin Heidelberg
Erschienen in: European Actuarial Journal / Ausgabe 1/2024
Print ISSN: 2190-9733
Elektronische ISSN: 2190-9741
DOI: https://doi.org/10.1007/s13385-023-00352-6

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