Template-Type: ReDIF-Paper 1.0
Series: Tinbergen Institute Discussion Papers
Creation-Date: 2014-08-29
Number: 14-117/IV/DSF80
Author-Name: Marcus C. Christiansen
Author-Workplace-Name: University of Ulm, Germany
Author-Name: Michel M. Denuit
Author-Workplace-Name: Université Catholique de Louvain, Belgium
Author-Name: Jan Dhaene
Author-Workplace-Name: Katholieke Universiteit Leuven, Belgium, University of the Free State, South Africa
Title: Reserve-Dependent Benefits and Costs in Life and Health Insurance Contracts
Abstract: Premiums and benefits associated with traditional life insurance contracts are usually specified as fixed amounts in policy conditions. However, reserve-dependent surrender values and reserve-dependent expenses are common in insurance practice. The famous Cantelli theorem in life insurance ensures that under appropriate assumptions surrendering can be ignored in reserve calculations provided the surrender payment equals the accumulated reserve. In this paper, more complex reserve-dependent payment patterns are considered, in line with insurance practice. Explicit formulas are derived for the corresponding reserve.
Classification-JEL: G00
Keywords: life insurance, multistate models, Markov process, surrender value, Cantelli theorem
File-Url: https://papers.tinbergen.nl/14117.pdf
File-Format: application/pdf
File-Size: 299364 bytes
Handle: RePEc:tin:wpaper:20140117