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Keywords = with-profit life insurance

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28 pages, 658 KiB  
Article
Retrospective Reserves and Bonus with Policyholder Behavior
by Debbie Kusch Falden and Anna Kamille Nyegaard
Risks 2021, 9(1), 15; https://doi.org/10.3390/risks9010015 - 5 Jan 2021
Cited by 9 | Viewed by 3537
Abstract
Legislation imposes insurance companies to project their assets and liabilities in various financial scenarios. Within the setup of with-profit life insurance, we consider retrospective reserves and bonus, and we study projection of balances with and without policyholder behavior. The projection resides in a [...] Read more.
Legislation imposes insurance companies to project their assets and liabilities in various financial scenarios. Within the setup of with-profit life insurance, we consider retrospective reserves and bonus, and we study projection of balances with and without policyholder behavior. The projection resides in a system of differential equations of the savings account and the surplus, and the policyholder behavior options surrender and conversion to free-policy are included. The inclusion results in a structure where the system of differential equations of the savings account and the surplus is non-trivial. We consider a case where we are able to find accurate differential equations and suggest an approximation method to project the savings account and the surplus, including policyholder behavior, in general. To highlight the practical applications of the results in this paper, we study a numerical example. Full article
(This article belongs to the Special Issue Interplay between Financial and Actuarial Mathematics)
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