Reserves and cash flows under stochastic retirement

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Standard

Reserves and cash flows under stochastic retirement. / Gad, Kamille Sofie Tågholt; Nielsen, Jeppe Woetmann.

I: Scandinavian Actuarial Journal, Bind 10, 2016, s. 876–90.

Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt

Harvard

Gad, KST & Nielsen, JW 2016, 'Reserves and cash flows under stochastic retirement', Scandinavian Actuarial Journal, bind 10, s. 876–90. https://doi.org/10.1080/03461238.2015.1028432

APA

Gad, K. S. T., & Nielsen, J. W. (2016). Reserves and cash flows under stochastic retirement. Scandinavian Actuarial Journal, 10, 876–90. https://doi.org/10.1080/03461238.2015.1028432

Vancouver

Gad KST, Nielsen JW. Reserves and cash flows under stochastic retirement. Scandinavian Actuarial Journal. 2016;10: 876–90. https://doi.org/10.1080/03461238.2015.1028432

Author

Gad, Kamille Sofie Tågholt ; Nielsen, Jeppe Woetmann. / Reserves and cash flows under stochastic retirement. I: Scandinavian Actuarial Journal. 2016 ; Bind 10. s. 876–90.

Bibtex

@article{f158d9daa8b746929269618bb59423ab,
title = "Reserves and cash flows under stochastic retirement",
abstract = "Uncertain time of retirement and uncertain structure of retirement benefits are risk factors for life insurance companies. Nevertheless, classical life insurance models assume these are deterministic. In this paper, we include the risk from stochastic time of retirement and stochastic benefit structure in a classical finite-state Markov model for a life insurance contract. We include discontinuities in the distribution of the retirement time. First, we derive formulas for appropriate scaling of the benefits according to the time of retirement and discuss the link between the scaling and the guarantees provided. Stochastic retirement creates a need to rethink the construction of disability products for high ages and ways to handle this are discussed. We show how to calculate market reserves and how to use modified transition probabilities to calculate expected cash flows without significantly more complexity than in the traditional model. At last, we demonstrate the impact of stochastic retirement on market reserves and expected cash flow in numerical examples.",
keywords = "behavioural option, benefit scaling, discontinuous transition probabilities, ordinary differential equation, Solvency II",
author = "Gad, {Kamille Sofie T{\aa}gholt} and Nielsen, {Jeppe Woetmann}",
year = "2016",
doi = "10.1080/03461238.2015.1028432",
language = "English",
volume = "10",
pages = " 876–90",
journal = "Scandinavian Actuarial Journal",
issn = "0346-1238",
publisher = "Taylor & Francis Scandinavia",

}

RIS

TY - JOUR

T1 - Reserves and cash flows under stochastic retirement

AU - Gad, Kamille Sofie Tågholt

AU - Nielsen, Jeppe Woetmann

PY - 2016

Y1 - 2016

N2 - Uncertain time of retirement and uncertain structure of retirement benefits are risk factors for life insurance companies. Nevertheless, classical life insurance models assume these are deterministic. In this paper, we include the risk from stochastic time of retirement and stochastic benefit structure in a classical finite-state Markov model for a life insurance contract. We include discontinuities in the distribution of the retirement time. First, we derive formulas for appropriate scaling of the benefits according to the time of retirement and discuss the link between the scaling and the guarantees provided. Stochastic retirement creates a need to rethink the construction of disability products for high ages and ways to handle this are discussed. We show how to calculate market reserves and how to use modified transition probabilities to calculate expected cash flows without significantly more complexity than in the traditional model. At last, we demonstrate the impact of stochastic retirement on market reserves and expected cash flow in numerical examples.

AB - Uncertain time of retirement and uncertain structure of retirement benefits are risk factors for life insurance companies. Nevertheless, classical life insurance models assume these are deterministic. In this paper, we include the risk from stochastic time of retirement and stochastic benefit structure in a classical finite-state Markov model for a life insurance contract. We include discontinuities in the distribution of the retirement time. First, we derive formulas for appropriate scaling of the benefits according to the time of retirement and discuss the link between the scaling and the guarantees provided. Stochastic retirement creates a need to rethink the construction of disability products for high ages and ways to handle this are discussed. We show how to calculate market reserves and how to use modified transition probabilities to calculate expected cash flows without significantly more complexity than in the traditional model. At last, we demonstrate the impact of stochastic retirement on market reserves and expected cash flow in numerical examples.

KW - behavioural option

KW - benefit scaling

KW - discontinuous transition probabilities

KW - ordinary differential equation

KW - Solvency II

UR - http://www.scopus.com/inward/record.url?scp=84927549403&partnerID=8YFLogxK

U2 - 10.1080/03461238.2015.1028432

DO - 10.1080/03461238.2015.1028432

M3 - Journal article

AN - SCOPUS:84927549403

VL - 10

SP - 876

EP - 890

JO - Scandinavian Actuarial Journal

JF - Scandinavian Actuarial Journal

SN - 0346-1238

ER -

ID: 161583752