A Measure to analyse the interaction of contracts in a heterogeneous life insurance portfolio

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<title>easure to analyse the interaction of contracts in a heterogeneous life insurance portfolio</title>
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<namePart>Eckert, Jonas</namePart>
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<namePart>Graf, Stefan</namePart>
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<namePart>Kling, Alexander</namePart>
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<abstract displayLabel="Summary">Because of the long-term nature of life insurance policies including interest rate guarantees and the current low interest rate environment, the fair valuation of insurance contracts is of particular interest. Fair valuation is often discussed on a single contract basis or from the viewpoint of a homogenous portfolio, i.e. a portfolio with identical policies. However, insurance portfolios are heterogeneous, i.e. consist of many different contracts. These contracts interact, e.g. because they share reserves, profits and the risk of default of the insurance company. In this paper, we introduce a methodology how interactions within heterogeneous insurance portfolios can be measured and provide some sample analyses showing how different contracts may subsidize each other. This methodology also allows for a check, whether a contract is fairly calculated in a heterogeneous portfolio.

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<note type="statement of responsibility">Jonas Eckert, Stefan Graf, Alexander Kling </note>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080570590">
<topic>Seguro de vida</topic>
</subject>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080590567">
<topic>Empresas de seguros</topic>
</subject>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080579258">
<topic>Cálculo actuarial</topic>
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<classification authority="">341</classification>
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<title>European Actuarial Journal</title>
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<publisher>Cham, Switzerland  : Springer Nature Switzerland AG,  2021-2022</publisher>
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<identifier type="local">MAP20220007085</identifier>
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<text>07/06/2021 Número 1 - junio 2021 , p. 87-112</text>
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