TY - JOUR

T1 - Computation of bonus in multi-state life insurance

AU - Ahmad, Jamaal

AU - Buchardt, Kristian

AU - Furrer, Christian

PY - 2022

Y1 - 2022

N2 - We consider computation of market values of bonus payments in multi-state with-profit life insurance. The bonus scheme consists of additional benefits bought according to a dividend strategy that depends on the past realization of financial risk, the current individual insurance risk, the number of additional benefits currently held, and so-called portfolio-wide means describing the shape of the insurance business. We formulate numerical procedures that efficiently combine simulation of financial risk with classic methods for the outstanding insurance risk. Special attention is given to the case where the number of additional benefits bought only depends on the financial risk. Methods and results are illustrated via a numerical example.

AB - We consider computation of market values of bonus payments in multi-state with-profit life insurance. The bonus scheme consists of additional benefits bought according to a dividend strategy that depends on the past realization of financial risk, the current individual insurance risk, the number of additional benefits currently held, and so-called portfolio-wide means describing the shape of the insurance business. We formulate numerical procedures that efficiently combine simulation of financial risk with classic methods for the outstanding insurance risk. Special attention is given to the case where the number of additional benefits bought only depends on the financial risk. Methods and results are illustrated via a numerical example.

U2 - 10.1017/asb.2021.32

DO - 10.1017/asb.2021.32

M3 - Journal article

VL - 52

SP - 291

EP - 331

JO - ASTIN Bulletin: The Journal of the IAA

JF - ASTIN Bulletin: The Journal of the IAA

SN - 0515-0361

IS - 1

ER -