TY - BOOK

T1 - Modern Policyholder Preferences and Scenario-Based Projections

AU - Jensen, Ninna Reitzel

PY - 2016

Y1 - 2016

N2 - This PhD thesis covers aspects of policyholder preferences and life insuranceprojections based on economic scenarios. Both topics are relevant to policyholdersas well as to the life insurance and pension industry—and equallyimportant, the topics give rise to a variety of interesting mathematical problemsand industry related considerations.From a policyholder perspective, being aware of one’s own preferences iscentral for making the best possible financial decisions, with life insurance andpensions playing a major role. From an industry perspective, understandingpolicyholder preferences is important for designing competitive life insuranceand savings products and for providing sound advice to policyholders. Preferencescome in many shapes and forms. In this thesis, we focus on separation ofrisk and time preferences and preferences for smooth investment. The latteris modeled with something as unconventional as explicit preferences for nottrading, and if not careful, the former entails time-inconsistency.From a policyholder and advisory perspective, scenario-based projectionsallow for tailor-made bonus, benefit, and retirement savings prognoses thatillustrate financial riskiness to the policyholder. From an industry and accountingperspective, scenario-based projections allow for valuation of life insurancecontracts taking into account both guaranteed and non-guaranteedpayments. In this thesis, we focus on economic scenarios because they ensurea low mathematical complexity even for complex financial markets, and wemodel participating life and unit-linked insurance in the same two-accountframework.

AB - This PhD thesis covers aspects of policyholder preferences and life insuranceprojections based on economic scenarios. Both topics are relevant to policyholdersas well as to the life insurance and pension industry—and equallyimportant, the topics give rise to a variety of interesting mathematical problemsand industry related considerations.From a policyholder perspective, being aware of one’s own preferences iscentral for making the best possible financial decisions, with life insurance andpensions playing a major role. From an industry perspective, understandingpolicyholder preferences is important for designing competitive life insuranceand savings products and for providing sound advice to policyholders. Preferencescome in many shapes and forms. In this thesis, we focus on separation ofrisk and time preferences and preferences for smooth investment. The latteris modeled with something as unconventional as explicit preferences for nottrading, and if not careful, the former entails time-inconsistency.From a policyholder and advisory perspective, scenario-based projectionsallow for tailor-made bonus, benefit, and retirement savings prognoses thatillustrate financial riskiness to the policyholder. From an industry and accountingperspective, scenario-based projections allow for valuation of life insurancecontracts taking into account both guaranteed and non-guaranteedpayments. In this thesis, we focus on economic scenarios because they ensurea low mathematical complexity even for complex financial markets, and wemodel participating life and unit-linked insurance in the same two-accountframework.

UR - https://soeg.kb.dk/permalink/45KBDK_KGL/fbp0ps/alma99122734926505763

M3 - Ph.D. thesis

SN - 978-87-7078-944-8

BT - Modern Policyholder Preferences and Scenario-Based Projections

PB - Department of Mathematical Sciences, Faculty of Science, University of Copenhagen

ER -