Modeling the future value distribution of a life insurance portfolio

Artikel

This paper addresses the problem of approximating the future value distribution of a large and heterogeneous life insurance portfolio which would play a relevant role, for instance, for solvency capital requirement valuations. Based on a metamodel, we first select a subset of representative policies in the portfolio. Then, by using Monte Carlo simulations, we obtain a rough estimate of the policies' values at the chosen future date and finally we approximate the distribution of a single policy and of the entire portfolio by means of two different approaches, the ordinary least-squares method and a regression method based on the class of generalized beta distribution of the second kind. Extensive numerical experiments are provided to assess the performance of the proposed models.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Journal: Risks ; ISSN: 2227-9091 ; Volume: 9 ; Year: 2021 ; Issue: 10 ; Pages: 1-17 ; Basel: MDPI

Classification and Topics

• Classification: Wirtschaft ; Insurance; Insurance Companies; Actuarial Studies
• Subject: GB2 ; LSMC ; metamodel ; regression models ; Solvency II

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Costabile, Massimo ; Viviano, Fabio
• Event: Veröffentlichung
• (who): MDPI
• (where): Basel
• (when): 2021

Further information

• DOI: doi:10.3390/risks9100177
• Handle: http://hdl.handle.net/10419/258261
• Last update: 10.03.2025, 11:43 AM CET