On the Market-Consistent Valuation of Participating Life Insurance Heterogeneous Contracts under Longevity Risk

Bacinello, Anna Rita; Chen, An; Sehner, Thorsten; Millossovich, Pietro

doi:10.3390/risks9010020

Cited by 7 publications

(4 citation statements)

References 24 publications

(32 reference statements)

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“…Premium is an amount of money paid by someone who buys an insurance policy, also known as a policy holder, as a substitute for taking a risk by the insurer (the insurance company). In life insurance, the benefits paid are related to a person's future life (Bacinello et al, 2021). If the death of the policy holder occurs while the contract is still running (in force), the insurance company as the protection provider will pay the benefits to the policyholder or their beneficiary.…”

Section: B Literature Reviewmentioning

confidence: 99%

Mortality Projection on Indonesia's Abridged Life Table to Determine the EPV of Term Annuity

Siswono¹,

Azmi²,

Syaifudin³

2021

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The life insurance industries usually use the Life Table for the valuation process, especially in calculating premiums and policy values of a policy. However, the Life Table is rarely updated; and it may even take years before they are updated. This happens because the insurers believe that the information in the Life Table is still related to the current state of a country and for the next several years. In fact, data and information related to mortality rates in a country are constantly changing and always being updated annually. Therefore, as an approach, researchers use the projection of mortality to approach the mortality rate in the future. Thus, future mortality data can be predicted so that better policies can be made by the governments or insurance industries. In this study, the Abridged Life Table of Indonesia is used in the projection of mortality for both sexes (male and female) of the population in Indonesia. The results of mortality projection are then used to calculate the Expected Present Value (EPV) of a term annuity-due under uniform distribution of deaths (UDD) for several values of and ages. The results obtained show that there is a decrease in the value of the mortality rate in the next few years. Therefore, it can be assumed that there is a possibility for longevity risk to occur in the future.

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Section: B Literature Reviewmentioning

confidence: 99%

Mortality Projection on Indonesia's Abridged Life Table to Determine the EPV of Term Annuity

Siswono¹,

Azmi²,

Syaifudin³

2021

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“…Market-consistent valuation requires a combination of actuarial and financial valuation methods, as was first pointed out by Brennan and Schwartz (1976a), who considered the valuation of guarantees in unit-linked insurance contracts; see also Embrechts (2000). Recent approaches to define fair valuations are Pelsser and Stadje (2014), Pelsser and Schweizer (2016), Wuthrich (2016), Dhaene et al (2017), Delong et al (2019a), , , Barigou et al (2021), Deelstra et al (2020), Bacinello et al (2021), Chen et al (2021).…”

Section: Introductionmentioning

confidence: 99%

The 3-step hedge-based valuation: fair valuation in the presence of systematic risks

Linders

2023

ASTIN Bull.

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In this paper, we introduce the 3-step hedge-based valuation for the valuation of hybrid claims. We consider an insurance portfolio which is exposed to traded risks, diversifiable risks and non-traded systematic risks. The class of 3-step hedge-based valuations is equivalent with the class of fair valuations. Closed-form solutions are derived for a portfolio of unit-linked contracts under the assumption of independence between financial and non-financial risks. We also consider the additive 3-step valuation and show that this additive valuation is a member of the more general class of 3-step hedge-based valuations.

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“…Further background on market consistent valuation of life insurance products can be found in [26,24,9,29,17,18,2,11,12]). These works all address the interplay between asset and liability modelling but present strongly simplified versions of asset portfolios, in particular book values of assets are not modelled.…”

Section: Introductionmentioning

confidence: 99%

Mean-field Libor market model and valuation of long term guarantees

Gach,

Hochgerner,

Kienbacher

et al. 2023

Preprint

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Existence and uniqueness of solutions to the multi-dimensional mean-field Libor market model (introduced by [7]) is shown. This is used as the basis for a numerical asset-liability management (ALM) model capable of calculating future discretionary benefits in accordance with Solvency~II regulation. This ALM model is complimented with aggregated life insurance data to perform a realistic numerical study. This yields numerical evidence for heuristic assumptions which allow to derive estimators of lower and upper bounds for future discretionary benefits. These estimators are applied to publicly available life insurance data.

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On the Market-Consistent Valuation of Participating Life Insurance Heterogeneous Contracts under Longevity Risk

Cited by 7 publications

References 24 publications

Mortality Projection on Indonesia's Abridged Life Table to Determine the EPV of Term Annuity

Mortality Projection on Indonesia's Abridged Life Table to Determine the EPV of Term Annuity

The 3-step hedge-based valuation: fair valuation in the presence of systematic risks

Mean-field Libor market model and valuation of long term guarantees

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