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Estimation of future discretionary benefits in traditional life insurance

Recurso electrónico / Electronic resource
Registro MARC
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040  ‎$a‎MAP‎$b‎spa‎$d‎MAP
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1001 ‎$0‎MAPA20220008570‎$a‎Gach, Florian
24510‎$a‎Estimation of future discretionary benefits in traditional life insurance‎$c‎Florian Gach
520  ‎$a‎In the context of life insurance with profit participation, the future discretionary benefits (FDB), which are a central item for Solvency II reporting, are generally calculated by computationally expensive Monte Carlo algorithms. We derive analytic formulas to estimate lower and upper bounds for the FDB. This yields an estimation interval for the FDB, and the average of lower and upper bound is a simple estimator. These formulae are designed for real world applications, and we compare the results to publicly available reporting data.
650 4‎$0‎MAPA20080570590‎$a‎Seguro de vida
650 4‎$0‎MAPA20080564254‎$a‎Solvencia II
650 4‎$0‎MAPA20080579258‎$a‎Cálculo actuarial
7730 ‎$w‎MAP20077000420‎$g‎05/09/2022 Volumen 52 Número 3 - septiembre 2022 , p. 835-876‎$x‎0515-0361‎$t‎Astin bulletin‎$d‎Belgium : ASTIN and AFIR Sections of the International Actuarial Association