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Risks 2015, 3(3), 290-317;

Life Insurance Cash Flows with Policyholder Behavior

PFA Pension, Sundkrogsgade 4, DK-2100 Copenhagen Ø, Denmark
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)
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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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Buchardt, K.; Møller, T. Life Insurance Cash Flows with Policyholder Behavior. Risks 2015, 3, 290-317.

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