Reserve-dependent Management Actions in life insurance

Research output: Contribution to journal › Journal article › Research › peer-review

Standard

Reserve-dependent Management Actions in life insurance. / Falden, Debbie Kusch; Nyegaard, Anna Kamille.

In: Scandinavian Actuarial Journal, Vol. 2023, No. 1, 2023, p. 1-19.

Research output: Contribution to journal › Journal article › Research › peer-review

Harvard

Falden, DK & Nyegaard, AK 2023, 'Reserve-dependent Management Actions in life insurance', Scandinavian Actuarial Journal, vol. 2023, no. 1, pp. 1-19. https://doi.org/10.1080/03461238.2022.2061868

APA

Falden, D. K., & Nyegaard, A. K. (2023). Reserve-dependent Management Actions in life insurance. Scandinavian Actuarial Journal, 2023(1), 1-19. https://doi.org/10.1080/03461238.2022.2061868

Vancouver

Falden DK, Nyegaard AK. Reserve-dependent Management Actions in life insurance. Scandinavian Actuarial Journal. 2023;2023(1):1-19. https://doi.org/10.1080/03461238.2022.2061868

Author

Falden, Debbie Kusch ; Nyegaard, Anna Kamille. / Reserve-dependent Management Actions in life insurance. In: Scandinavian Actuarial Journal. 2023 ; Vol. 2023, No. 1. pp. 1-19.

Bibtex

@article{47e0403aae41460ebb84ecdc0e7ea0a3,
title = "Reserve-dependent Management Actions in life insurance",
abstract = "In a set-up of with-profit life insurance including bonus, we study the calculation of the market reserve, where Management Actions such as investment strategies and bonus allocation strategies depend on the reserve itself. Since the amount of future bonus depends on the retrospective savings account, the introduction of Management Actions that depend on the prospective market reserve results in an entanglement of retrospective and prospective reserves. We study the complications that arise due to the interdependence between retrospective and prospective reserves, and characterize the market reserve by a partial differential equation (PDE). We reduce the dimension of the PDE in the case of linearity, and furthermore, we suggest an approximation of the market reserve based on the forward rate. The quality of the approximation is studied in a numerical example.",
keywords = "Bonus, Management Actions, Prospective reserves, With-profit life insurance",
author = "Falden, {Debbie Kusch} and Nyegaard, {Anna Kamille}",
note = "Funding Information: This research was funded by Innovation Fund Denmark [award number 7076-00029]. We would like to thank Mogens Steffensen for general comments and discussions during this work, and to thank Christian Furrer and Kristian Buchardt for insightful comments that helped to improve the paper. Publisher Copyright: {\textcopyright} 2022 Informa UK Limited, trading as Taylor & Francis Group.",
year = "2023",
doi = "10.1080/03461238.2022.2061868",
language = "English",
volume = "2023",
pages = "1--19",
journal = "Scandinavian Actuarial Journal",
issn = "0346-1238",
publisher = "Taylor & Francis Scandinavia",
number = "1",

}

RIS

TY - JOUR

T1 - Reserve-dependent Management Actions in life insurance

AU - Falden, Debbie Kusch

AU - Nyegaard, Anna Kamille

N1 - Funding Information: This research was funded by Innovation Fund Denmark [award number 7076-00029]. We would like to thank Mogens Steffensen for general comments and discussions during this work, and to thank Christian Furrer and Kristian Buchardt for insightful comments that helped to improve the paper. Publisher Copyright: © 2022 Informa UK Limited, trading as Taylor & Francis Group.

PY - 2023

Y1 - 2023

N2 - In a set-up of with-profit life insurance including bonus, we study the calculation of the market reserve, where Management Actions such as investment strategies and bonus allocation strategies depend on the reserve itself. Since the amount of future bonus depends on the retrospective savings account, the introduction of Management Actions that depend on the prospective market reserve results in an entanglement of retrospective and prospective reserves. We study the complications that arise due to the interdependence between retrospective and prospective reserves, and characterize the market reserve by a partial differential equation (PDE). We reduce the dimension of the PDE in the case of linearity, and furthermore, we suggest an approximation of the market reserve based on the forward rate. The quality of the approximation is studied in a numerical example.

AB - In a set-up of with-profit life insurance including bonus, we study the calculation of the market reserve, where Management Actions such as investment strategies and bonus allocation strategies depend on the reserve itself. Since the amount of future bonus depends on the retrospective savings account, the introduction of Management Actions that depend on the prospective market reserve results in an entanglement of retrospective and prospective reserves. We study the complications that arise due to the interdependence between retrospective and prospective reserves, and characterize the market reserve by a partial differential equation (PDE). We reduce the dimension of the PDE in the case of linearity, and furthermore, we suggest an approximation of the market reserve based on the forward rate. The quality of the approximation is studied in a numerical example.

KW - Bonus

KW - Management Actions

KW - Prospective reserves

KW - With-profit life insurance

U2 - 10.1080/03461238.2022.2061868

DO - 10.1080/03461238.2022.2061868

M3 - Journal article

AN - SCOPUS:85130046059

VL - 2023

SP - 1

EP - 19

JO - Scandinavian Actuarial Journal

JF - Scandinavian Actuarial Journal

SN - 0346-1238

IS - 1

ER -

ID: 344440934