Retrospective reserves and bonus

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Standard

Retrospective reserves and bonus. / Bruhn, Kenneth; Lollike, Alexander Sevel.

I: Scandinavian Actuarial Journal, Bind 2021, Nr. 6, 2021, s. 457-475.

Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt

Harvard

Bruhn, K & Lollike, AS 2021, 'Retrospective reserves and bonus', Scandinavian Actuarial Journal, bind 2021, nr. 6, s. 457-475. https://doi.org/10.1080/03461238.2020.1809509

APA

Bruhn, K., & Lollike, A. S. (2021). Retrospective reserves and bonus. Scandinavian Actuarial Journal, 2021(6), 457-475. https://doi.org/10.1080/03461238.2020.1809509

Vancouver

Bruhn K, Lollike AS. Retrospective reserves and bonus. Scandinavian Actuarial Journal. 2021;2021(6):457-475. https://doi.org/10.1080/03461238.2020.1809509

Author

Bruhn, Kenneth ; Lollike, Alexander Sevel. / Retrospective reserves and bonus. I: Scandinavian Actuarial Journal. 2021 ; Bind 2021, Nr. 6. s. 457-475.

Bibtex

@article{99903a03f40741caa4377bc824edd0a9,
title = "Retrospective reserves and bonus",
abstract = "Modern legislation has increased the amount of quantities that insurance companies should report in order to prove solvent as well as prudent. More of these quantities require not just simple bookkeeping but a mere projection of the future. In this paper, we provide a solid base for this crystal ball exercise as we derive differential equations for the retrospective reserves of a pension company, in a setting where the surplus and the dividends are modelled. The differential equations rely on dynamics of the stochastic reserve that are affine functions of the stochastic reserve themselves. The retrospective reserves are defined as conditional expected values, given limited information, leading to computational tractable differential equations for the reserves. We wrap up the theoretical part by suggestions for practical use in terms of considering validation of guarantees and discretionary benefits at future time points.",
keywords = "Bonus, dividends, FMA, retrospective reserves, with-profit insurance",
author = "Kenneth Bruhn and Lollike, {Alexander Sevel}",
year = "2021",
doi = "10.1080/03461238.2020.1809509",
language = "English",
volume = "2021",
pages = "457--475",
journal = "Scandinavian Actuarial Journal",
issn = "0346-1238",
publisher = "Taylor & Francis Scandinavia",
number = "6",

}

RIS

TY - JOUR

T1 - Retrospective reserves and bonus

AU - Bruhn, Kenneth

AU - Lollike, Alexander Sevel

PY - 2021

Y1 - 2021

N2 - Modern legislation has increased the amount of quantities that insurance companies should report in order to prove solvent as well as prudent. More of these quantities require not just simple bookkeeping but a mere projection of the future. In this paper, we provide a solid base for this crystal ball exercise as we derive differential equations for the retrospective reserves of a pension company, in a setting where the surplus and the dividends are modelled. The differential equations rely on dynamics of the stochastic reserve that are affine functions of the stochastic reserve themselves. The retrospective reserves are defined as conditional expected values, given limited information, leading to computational tractable differential equations for the reserves. We wrap up the theoretical part by suggestions for practical use in terms of considering validation of guarantees and discretionary benefits at future time points.

AB - Modern legislation has increased the amount of quantities that insurance companies should report in order to prove solvent as well as prudent. More of these quantities require not just simple bookkeeping but a mere projection of the future. In this paper, we provide a solid base for this crystal ball exercise as we derive differential equations for the retrospective reserves of a pension company, in a setting where the surplus and the dividends are modelled. The differential equations rely on dynamics of the stochastic reserve that are affine functions of the stochastic reserve themselves. The retrospective reserves are defined as conditional expected values, given limited information, leading to computational tractable differential equations for the reserves. We wrap up the theoretical part by suggestions for practical use in terms of considering validation of guarantees and discretionary benefits at future time points.

KW - Bonus

KW - dividends

KW - FMA

KW - retrospective reserves

KW - with-profit insurance

U2 - 10.1080/03461238.2020.1809509

DO - 10.1080/03461238.2020.1809509

M3 - Journal article

AN - SCOPUS:85089866350

VL - 2021

SP - 457

EP - 475

JO - Scandinavian Actuarial Journal

JF - Scandinavian Actuarial Journal

SN - 0346-1238

IS - 6

ER -

ID: 249255226