We determine how an individual can use life insurance to meet a bequest goal. We assume that the individual's consumption is met by an income, such as a pension, life annuity, or Social Security. Then, we consider the wealth that the individual wants to devote towards heirs (separate from any wealth related to the afor…
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48 results for “Life Insurance”
Bayesian MS-VAR model for pricing equity-linked life insurance products.
problem Pricing and hedging equity-linked life insurance products on maximum of several assets.
method Introduces Bayesian Markov-Switching Vector Autoregressive (MS-VAR) process to model economic variables and insured's lifetime.
result Obtains net single premiums and hedging formulas for equity-linked life insurance products.
Optimizes capital structure for life insurance companies with surplus participation.
problem Determining the optimal participation rate in life insurance contracts.
method Adapted Leland's dynamic capital structure model to life insurance context.
result Optimal participation rate is highly sensitive to contract duration and tax rate.
Reinsurance can help life insurers maintain higher capital guarantees without losing utility.
problem Decreasing capital guarantees in life insurance products.
method Dynamic investment-reinsurance optimization problem with simultaneous Value-at-Risk and no-short-selling constraints. Introduced guarantee-equivalent utility gain for comparison.
result Optimally managed reinsurance allows insurers to offer higher capital guarantees without reducing expected utility.
This paper explores how machine learning can improve life insurance risk assessment.
problem Limited use of machine learning in life insurance due to statistical models' efficiency.
method Review and extension of traditional actuarial methodologies with machine learning techniques.
result Developed Python library for life insurance data, improving risk modeling.
In this paper, we study a stochastic optimal control problem with stochastic volatility. We prove the sufficient and necessary maximum principle for the proposed problem. Then we apply the results to solve an investment, consumption and life insurance problem with stochastic volatility, that is, we consider a wage earn…
Two-dimensional transition rates improve life insurance reserve calculations.
problem Calculating life insurance reserves with Markov assumptions.
method Introducing two-dimensional forward and backward transition rates.
result Two-dimensional transition rates enable more accurate reserve calculations.
Study large deviations in life insurance portfolios without identical distributions.
problem Large deviations in life insurance portfolios with bounded losses and variances.
method Upper bound from standard large deviations, counterexample for full large deviation principle.
result Exponential bound for average loss exceeding a threshold.
Investigates optimal life insurance and annuity decisions in inflationary economies.
problem Optimal consumption and investment decisions in an inflationary economy with money illusion.
method Formulated as a random horizon utility maximization problem, derived optimal strategy.
result Money illusion increases life insurance demand for young adults and reduces annuity demand for retirees.
In this paper we propose a general framework for modeling an insurance liability cash flow in continuous time, by generalizing the reduced-form framework for credit risk and life insurance. In particular, we assume a nontrivial dependence structure between the reference filtration and the insurance internal filtration.…
We determine the optimal amount of life insurance for a household of two wage earners. We consider the simple case of exponential utility, thereby removing wealth as a factor in buying life insurance, while retaining the relationship among life insurance, income, and the probability of dying and thus losing that income…
Paper introduces a new principle for fair redistribution of insurance surplus.
problem Fair redistribution of surplus in life insurance policies.
method Introduces ISU decomposition principle based on infinitesimal sequential updates.
result Existing heuristic formulas can be replicated as ISU decompositions.
Investigates timing and asset allocation for life insurance in uncertain financial planning.
problem Optimal timing and asset allocation for life insurance in uncertain financial planning.
method Analytical solutions using duality theory and free-boundary problems.
result Explicit expressions for value functions and optimal strategies in both scenarios.
The study examines how different interpolation methods affect the decomposition of life insurance surplus.
problem The impact of different interpolation methods on the decomposition of life insurance surplus.
method The study uses the IASU decomposition method to analyze the effects of different interpolation methods (Lee-Carter and linear) on the surplus decomposition.
result Lee-Carter and linear interpolation yield almost identical decompositions, while constant approximations result in different decompositions.
New formulas estimate life insurance benefits with less computation.
problem Estimating future discretionary benefits in life insurance.
method Derive analytic formulas for lower and upper bounds of FDB.
result Simple estimator for FDB with average of lower and upper bounds.
We determine the optimal strategies for purchasing term life insurance and for investing in a risky financial market in order to maximize the probability of reaching a bequest goal while consuming from an investment account. We extend Bayraktar and Young (2015) by allowing the individual to purchase term life insurance…
Method reconstructs hidden Markov chains from insurance data.
problem Recovering hidden Markov chains from incomplete insurance data.
method Neural architecture to explicitly provide transition probabilities.
result Neural model successfully validates decompression of insurance information.
The paper calculates bonus values in complex insurance schemes.
problem Calculating bonus payments in multi-state with-profit life insurance.
method Combines financial risk simulation with insurance risk methods.
result Efficient numerical procedures for bonus calculation.
The paper optimizes insurance purchases for financial goals.
problem Maximizing probability of achieving financial goals with insurance.
method Analyzes deferred term insurance in deterministic and stochastic frameworks, considering income, consumption, and risky investment.
result Provides optimal insurance and investment strategies for achieving financial goals.
Analyzes premium data of Indian non-life insurers, finding GEV distribution best fits Lognormal and GEV extremes.
problem Modeling premiums of non-life insurance companies in India.
method Empirical analysis using Lognormal, GEV, and GPD distributions.
result Generalized Extreme Value distribution best fits premium data for ten Indian non-life insurers.
We consider the problem of how an individual can use term life insurance to maximize the probability of reaching a given bequest goal, an important problem in financial planning. We assume that the individual buys instantaneous term life insurance with a premium payable continuously. By contrast with Bayraktar et al. (…
An optimal life insurance policy in the investment-consumption problem in an incomplete marketq-fin.PM
This paper considers an optimal life insurance for a householder subject to mortality risk. The household receives a wage income continuously, which is terminated by unexpected (premature) loss of earning power or (planned and intended) retirement, whichever happens first. In order to hedge the risk of losing income st…
The paper analyzes multivariate payments in multi-state life insurance using Markovian state processes.
problem Analyzing joint effects of life annuities and death benefits in a multi-state framework.
method Introduces multivariate present value of future payments, derives differential equations and moment generating functions, and focuses on pair-wise covariances.
result Derives Hattendorff type results for pair-wise covariances in a disability model.
The paper analyzes optimal investment strategies for life insurance contracts using mean-variance optimization.
problem Optimal portfolio choice for equity holders in life insurance contracts.
method Mean-variance optimization, explicit formulas, Hamilton-Jacobi-Bellman equations, numerical analysis.
result Equity holders increase investment in risky assets during economic downturns.
Neural networks improve life insurance solvency calculations.
problem Computational challenges in Monte Carlo simulations for life insurance solvency.
method Use of neural networks as a proxy model for risk-neutral pricing.
result Neural networks solve feature engineering and selection problems in replicating portfolios.
Non-Life Insurance Pricing: Multi Agents Modelcond-mat.stat-mech
We use the maximum entropy principle for pricing the non-life insurance and recover the Bühlmann results for the economic premium principle. The concept of economic equilibrium is revised in this respect.
Lapse-supported life insurance exacerbates adverse selection risks.
problem Lapse-supported life insurance increases adverse selection costs.
method Modeling 'Term to 100' contracts and analyzing three methods of managing lapse surplus.
result Adverse selection losses can be almost unlimited under certain conditions.
Revisits life insurance surplus models with new technical bases.
problem Classifying and extending life insurance surplus models.
method Using Markov models and classifying technical bases in Thiele's equation.
result Introduces a `canonical' model with three technical bases.
Derives equations for life insurance reserves with interest rate uncertainty.
problem Life insurance reserves with stochastic interest rates.
method Partial differential equations for reserves under stochastic interest rates.
result Explicit solutions for reserves under specific models.
New models for insurance claims accounting for delays.
problem Delayed claims processing affects real-time policy development.
method Introducing transaction time models to describe multi-state life insurance.
result Explicit expressions for transaction time reserves derived.
In this paper we study the pricing and hedging problem of a portfolio of life insurance products under the benchmark approach, where the reference market is modelled as driven by a state variable following a polynomial diffusion on a compact state space. Such a model guarantees not only the positivity of the OIS short …
New model bridges pricing and reserving for insurance claims.
problem Incomplete claim data due to reporting and settlement delays.
method Develops an occurrence and development model to estimate both claims and premiums.
result Effective resolution of pricing and reserving inconsistencies.
The paper revisits and applies FTAP to life insurance and annuities pricing.
problem Non-arbitrage pricing of life contingent assets in dynamic markets.
method Revisit FTAP, use martingale theory, apply FTAP to life insurance and annuities, clarify assumptions.
result Valuation formula for life contingent assets including life insurance policies and annuities.
This paper develops a valuation model for private companies.
problem Lack of pricing and hedging models for private companies.
method Dynamic Gordon growth model, Maximum Likelihood (ML) estimators, Expectation Maximization (EM) algorithm.
result Closed-form pricing and hedging formulas for private companies.
The paper prices a new life insurance policy for couples, considering various contingent benefits.
problem Valuation of life insurance policies for dependent coupled lives.
method Employed the -rule combining real-world and risk-neutral measures for pricing.
result Explicit pricing expressions for the new insurance policy were derived and analyzed.
The abstract reviews Markov models in life insurance surplus.
problem Analyzing Markov models in life insurance surplus.
method Systematic organization of models based on technical bases, including non-contractual cashflows.
result Expansion of 'technical basis' and addition of new terms to the surplus.
The paper evaluates joint life insurance risk under dependence uncertainty using copulas and convex risk measures.
problem Evaluating risk of joint life insurance products under uncertainty in dependence structure.
method Monotonicity of risk evaluation with concordance order, linear programming for bounds, and numerical analysis.
result Bounds for mean, Value-at-Risk, and Expected Shortfall computed using linear programs.
This contribution is concerned with price optimisation of the new business for a non-life product. Due to high competition in the insurance market, non-life insurers are interested in increasing their conversion rates on new business based on some profit level. In this respect, we consider the competition in the market…
Pricing equity-linked life insurance contracts with multiple risk factors by neural networksq-fin.PR
The paper uses neural networks to price complex life insurance contracts with multiple risk factors.
problem Pricing equity-linked life insurance contracts with various stochastic risk factors.
method Assuming hedging to reduce local variance, the price is expressed as a system of non-linear PDEs. Reformulated as a backward SDE with jumps, solved numerically using neural networks.
result Neural networks provide an efficient numerical solution for pricing these complex contracts.
The Thermodynamic Approach to Whole-Life Insurance: A Method for Evaluation of Surrender Riskq-fin.GN
Model evaluates insurance risk using thermodynamic principles.
problem Risk of lapses due to adverse selection in insurance.
method Collective model with diffusion process influenced by statistical mechanics.
result Derives level premium to evaluate insurance risk.
Study on excess mortality in Germany during 2020-21.
problem Analyzing excess mortality during the pandemic in Germany.
method Empirical study using official death counts.
result Provided conclusions for insurance businesses.
In this paper we investigate the local risk-minimization approach for a combined financial-insurance model where there are restrictions on the information available to the insurance company. In particular we assume that, at any time, the insurance company may observe the number of deaths from a specific portfolio of in…
Investigates RI strategies for life insurers with LRD mortality rates.
problem Effect of long-range dependent mortality rates on RI strategies.
method Volterra mortality model, compound Poisson process, open-loop equilibrium mean-variance criterion.
result Explicit equilibrium RI controls derived and uniqueness studied.
Mean-field approximations simplify insurance liability calculations.
problem High-dimensional system of equations makes insurance liability calculation infeasible.
method Use mean-field model to replace high-dimensional system with a low-dimensional non-linear system.
result Insurance liability converges to mean-field approximation as cohort size increases.
Bounds derived for contract values in life insurance with financial market interaction.
problem Incompleteness in life tables for modern insurance products.
method Derivation of upper and lower bounds for hybrid functionals of lifetime under different assumptions.
result Characterization of worst- and best-case contract values over compatible mortality processes.
Study validates Libor model for insurance benefits calculation.
problem Valuation of long-term insurance guarantees.
method Mean-field Libor market model, numerical ALM, aggregated life insurance data.
result Derives estimators for future discretionary benefits.
The aim of this paper is to solve an optimal investment, consumption and life insurance problem when the investor is restricted to capital guarantee. We consider an incomplete market described by a jump-diffusion model with stochastic volatility. Using the martingale approach, we prove the existence of the optimal stra…
Paper develops a model to assess capital requirement for demographic risk using stochastic methods.
problem Quantifying capital requirement for demographic risk in life insurance contracts.
method Stochastic model extending local GAAP to Solvency II framework, proving market consistency.
result Model highlights main drivers of capital requirement evaluation, comparing to GAAP.