Retrospective Reserves and Bonus with Policyholder Behavior
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Retrospective Reserves and Bonus with Policyholder Behavior. / Falden, Debbie Kusch; Nyegaard, Anna Kamille.
In: Risks, Vol. 9, No. 1, 15, 2021.Research output: Contribution to journal › Journal article › Research › peer-review
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TY - JOUR
T1 - Retrospective Reserves and Bonus with Policyholder Behavior
AU - Falden, Debbie Kusch
AU - Nyegaard, Anna Kamille
PY - 2021
Y1 - 2021
N2 - 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.
AB - 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.
KW - with-profit life insurance
KW - bonus
KW - surplus
KW - dividends
KW - projection of balances
KW - retrospective reserve
KW - policyholder behavior
U2 - 10.3390/risks9010015
DO - 10.3390/risks9010015
M3 - Journal article
VL - 9
JO - Risks
JF - Risks
SN - 2227-9091
IS - 1
M1 - 15
ER -
ID: 284411531