Computation of bonus in multi-state life insurance
Research output: Contribution to journal › Journal article › peer-review
Accepted author manuscript, 1.29 MB, PDF document
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.
|Journal||ASTIN Bulletin: The Journal of the IAA|
|Publication status||Published - 2022|
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