Centro de Documentacion de Fundación MAPFRE - A Measure to analyse the interaction of contracts in a heterogeneous life insurance portfolio

MAP20220007153

A Measure to analyse the interaction of contracts in a heterogeneous life insurance portfolio / Jonas Eckert, Stefan Graf, Alexander Kling

Sumario: 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.

En: European Actuarial Journal. - Cham, Switzerland : Springer Nature Switzerland AG, 2021-2022. - 07/06/2021 Volúmen 11 - Número 1 - junio 2021 , p. 87-112

1. Seguro de vida . 2. Empresas de seguros . 3. Cálculo actuarial . I. Graf, Stefan . II. Kling, Alexander . III. Título.