Valuation of hybrid financial and actuarial products in life insurance by a novel three-step method
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| Tag | 1 | 2 | Value |
|---|---|---|---|
| LDR | 00000cab a2200000 4500 | ||
| 001 | MAP20200029717 | ||
| 003 | MAP | ||
| 005 | 20200924174711.0 | ||
| 008 | 200924e20200901bel|||p |0|||b|eng d | ||
| 040 | $aMAP$bspa$dMAP | ||
| 084 | $a6 | ||
| 245 | 1 | 0 | $aValuation of hybrid financial and actuarial products in life insurance by a novel three-step method$cGriselda Deelstra...[Et al.] |
| 520 | $aFinancial products are priced using risk-neutral expectations justified by hedging portfolios that (as accurate as possible) match the product's payoff. In insurance, premium calculations are based on a real-world best-estimate value plus a risk premium. The insurance risk premium is typically reduced by pooling of (in the best case) independent contracts. As hybrid life insurance contracts depend on both financial and insurance risks, their valuation requires a hybrid valuation principle that combines the two concepts of financial and actuarial valuation. The aim of this paper is to present a novel three-step projection algorithm to valuate hybrid contracts by decomposing their payoff in three parts: a financial, hedgeable part, a diversifiable actuarial part, and a residual part that is neither hedgeable nor diversifiable. The first two parts of the resulting premium are directly linked to their corresponding hedging and diversification strategies, respectively. The method allows for a separate treatment of unsystematic, diversifiable mortality risk and systematic, aggregate mortality risk related to, for example, epidemics or population-wide improvements in life expectancy. We illustrate our method in the case of CAT bonds and a pure endowment insurance contract with profit and compare the three-step method to alternative valuation operators suggested in the literature. | ||
| 650 | 4 | $0MAPA20080603182$aProductos financieros | |
| 650 | 4 | $0MAPA20080570590$aSeguro de vida | |
| 650 | 4 | $0MAPA20080602437$aMatemática del seguro | |
| 650 | 4 | $0MAPA20080573386$aPrima de riesgo | |
| 650 | 4 | $0MAPA20080584290$aContrato de seguro | |
| 700 | $0MAPA20100064160$aDeelstra, Griselda | ||
| 773 | 0 | $wMAP20077000420$tAstin bulletin$dBelgium : ASTIN and AFIR Sections of the International Actuarial Association$x0515-0361$g01/09/2020 Volumen 50 Número 3 - septiembre 2020 , p. 709-742 |