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COMPUTATION OF BONUS IN MULTI-STATE LIFE INSURANCE

Published online by Cambridge University Press:  14 December 2021

Jamaal Ahmad Open the ORCID record for Jamaal Ahmad [Opens in a new window] ,
Kristian Buchardt Open the ORCID record for Kristian Buchardt [Opens in a new window]  and
Christian Furrer Open the ORCID record for Christian Furrer [Opens in a new window]
Jamaal Ahmad*
Affiliation:
Department of Mathematical Sciences, University of Copenhagen, Universitetsparken 5, DK-2100 Copenhagen, Denmark E-Mail: jamaal@math.ku.dk
Kristian Buchardt
Affiliation:
PFA Pension, Sundkrogsgade 4, DK-2100 Copenhagen, Denmark E-Mail: kristian@buchardt.net
Christian Furrer
Affiliation:
Department of Mathematical Sciences, University of Copenhagen, Universitetsparken 5, DK-2100 Copenhagen, Denmark PFA Pension, Sundkrogsgade 4, DK-2100 Copenhagen, Denmark E-Mail: furrer@math.ku.dk
*
E-Mail: jamaal@math.ku.dk
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Abstract

We consider computation of market values of bonus payments in multi-state with-profit life insurance. The bonus scheme consists of additional benefits bought according to a dividend strategy that depends on the past realization of financial risk, the current individual insurance risk, the number of additional benefits currently held, and so-called portfolio-wide means describing the shape of the insurance business. We formulate numerical procedures that efficiently combine simulation of financial risk with classic methods for the outstanding insurance risk. Special attention is given to the case where the number of additional benefits bought only depends on the financial risk. Methods and results are illustrated via a numerical example.

Keywords

Market consistent valuationwith-profit life insuranceparticipating life insuranceeconomic scenariosportfolio-wide meansG22C63
Type
Research Article
Information
ASTIN Bulletin: The Journal of the IAA , Volume 52 , Issue 1 , January 2022 , pp. 291 - 331
Copyright
© The Author(s), 2021. Published by Cambridge University Press on behalf of The International Actuarial Association

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