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

Recurso electrónico / Electronic resource
MARC record
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040  ‎$a‎MAP‎$b‎spa‎$d‎MAP
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1001 ‎$0‎MAPA20220002189‎$a‎Eckert, Jonas
24513‎$a‎A Measure to analyse the interaction of contracts in a heterogeneous life insurance portfolio‎$c‎Jonas Eckert, Stefan Graf, Alexander Kling
520  ‎$a‎Because 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.
650 4‎$0‎MAPA20080570590‎$a‎Seguro de vida
650 4‎$0‎MAPA20080590567‎$a‎Empresas de seguros
650 4‎$0‎MAPA20080579258‎$a‎Cálculo actuarial
7001 ‎$0‎MAPA20190012362‎$a‎Graf, Stefan
7001 ‎$0‎MAPA20100039014‎$a‎Kling, Alexander
7730 ‎$w‎MAP20220007085‎$t‎European Actuarial Journal‎$d‎Cham, Switzerland : Springer Nature Switzerland AG, 2021-2022‎$g‎07/06/2021 Número 1 - junio 2021 , p. 87-112