On Technical Bases and Surplus in Life Insurance
| Autor: | Haçarız, Oytun, Kleinow, Torsten, Macdonald, Angus S. |
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| Rok vydání: | 2023 |
| Předmět: | |
| Druh dokumentu: | Working Paper |
| Popis: | We revisit surplus on general life insurance contracts, represented by Markov models. We classify technical bases in terms of boundary conditions in Thiele's equation(s), allowing more general regulations than Scandinavian-style `first-order/second-order' regimes, and replacing the traditional retrospective policy value. We propose a `canonical' model with three technical bases (premium, valuation, accumulation) and show how each pair of bases defines premium loadings and surplus. Along with a `true' or `real-world' experience basis, this expands fundamental results of Ramlau-Hansen (1988a). We conclude with two applications: lapse-supported business; and the retrospectively-oriented regime proposed by M{\o}ller & Steffensen (2007). Comment: 33 pages, 4 Figures |
| Databáze: | arXiv |
| Externí odkaz: |
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