Reserve-Dependent Benefits and Costs in Life and Health Insurance Contracts

Christiansen, Marcus C.;Denuit, Michel;Dhaene, Jan
(2014) , 13 pages

Files

ISBADP2014_04.pdf
  • Open Access
  • Adobe PDF
  • 270.1 KB
Download

Details

Authors
  • Christiansen, Marcus C.University of Ulm
    Author
  • Denuit, MichelUCLouvain
    Author
  • Dhaene, JanKatholieke Universiteit Leuven
    Author
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 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.
Affiliations

Citations

  • APA
  • Chicago
  • FWB

Christiansen, M. C., Denuit, M., & Dhaene, J. (2014). Reserve-Dependent Benefits and Costs in Life and Health Insurance Contracts (ISBA Discussion Paper 2014/04). https://hdl.handle.net/2078.5/199508