Arbeitspapier
Reserve-Dependent Benefits and Costs in Life and Health Insurance Contracts
Premiums and benefits associated with traditional life insurance contracts are usually specified as fixed amounts in policy conditions. However, reserve-dependent surrender values and reserve-dependent expenses are common in insurance practice. The famous Cantelli theorem in life insurance ensures that under appropriate assumptions surrendering can be ignored in reserve calculations provided the surrender payment equals the accumulated reserve. In this paper, more complex reserve-dependent payment patterns are considered, in line with insurance practice. Explicit formulas are derived for the corresponding reserve.
- Sprache
-
Englisch
- Erschienen in
-
Series: Tinbergen Institute Discussion Paper ; No. 14-117/IV/DSF80
- Klassifikation
-
Wirtschaft
- Thema
-
life insurance
multistate models
Markov process
surrender value
Cantelli theorem
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Christiansen, Marcus C.
Denuit, Michel M.
Dhaene, Jan
- Ereignis
-
Veröffentlichung
- (wer)
-
Tinbergen Institute
- (wo)
-
Amsterdam and Rotterdam
- (wann)
-
2014
- Handle
- Letzte Aktualisierung
- 10.03.2025, 11:43 MEZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Christiansen, Marcus C.
- Denuit, Michel M.
- Dhaene, Jan
- Tinbergen Institute
Entstanden
- 2014
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