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Risks 2015, 3(3), 290-317; doi:10.3390/risks3030290

Life Insurance Cash Flows with Policyholder Behavior

1
PFA Pension, Sundkrogsgade 4, DK-2100 Copenhagen Ø, Denmark
2
Department of Mathematical Sciences, University of Copenhagen, Universitetsparken 5, DK-2100 Copenhagen Ø, Denmark
*
Author to whom correspondence should be addressed.
Academic Editor: Nadine Gatzert
Received: 16 March 2015 / Accepted: 5 July 2015 / Published: 24 July 2015
(This article belongs to the Special Issue Life Insurance and Pensions)
View Full-Text   |   Download PDF [310 KB, uploaded 24 July 2015]   |  

Abstract

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. View Full-Text
Keywords: Kolmogorov’s differential equations; surrender; free policy; Solvency 2 Kolmogorov’s differential equations; surrender; free policy; Solvency 2
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This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. (CC BY 4.0).

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Buchardt, K.; Møller, T. Life Insurance Cash Flows with Policyholder Behavior. Risks 2015, 3, 290-317.

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