Artikel
Life insurance cash flows with policyholder behavior
The problem of the valuation of life insurance payments with policyholder behavior is studied. First, a simple survival model is considered, and it is shown how cash flows without policyholder behavior can be modified to include surrender and free policy behavior by calculation of simple integrals. In the second part, a more general disability model with recovery is studied. Here, cash flows are determined by solving a modified Kolmogorov forward differential equation. We conclude the paper with numerical examples illustrating the methods proposed and the impact of policyholder behavior.
- Language
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Englisch
- Bibliographic citation
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Journal: Risks ; ISSN: 2227-9091 ; Volume: 3 ; Year: 2015 ; Issue: 3 ; Pages: 290-317 ; Basel: MDPI
- Classification
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Wirtschaft
- Subject
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Kolmogorov's differential equations
surrender
free policy
Solvency 2
- Event
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Geistige Schöpfung
- (who)
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Buchardt, Kristian
Møller, Thomas
- Event
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Veröffentlichung
- (who)
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MDPI
- (where)
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Basel
- (when)
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2015
- DOI
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doi:10.3390/risks3030290
- Handle
- Last update
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10.03.2025, 11:42 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Buchardt, Kristian
- Møller, Thomas
- MDPI
Time of origin
- 2015
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