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| Autori principali: | , |
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| Natura: | Preprint |
| Pubblicazione: |
2021
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| Soggetti: | |
| Accesso online: | https://arxiv.org/abs/2101.06077 |
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| _version_ | 1866910403789848576 |
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| author | Gach, Florian Hochgerner, Simon |
| author_facet | Gach, Florian Hochgerner, Simon |
| contents | In the context of life insurance with profit participation, the future discretionary benefits ($FDB$), which are a central item for Solvency~II reporting, are generally calculated by computationally expensive Monte Carlo algorithms. We derive analytic formulas to estimate lower and upper bounds for the $FDB$. This yields an estimation interval for the $FDB$, and the average of lower and upper bound is a simple estimator. These formulae are designed for real world applications, and we compare the results to publicly available reporting data. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2101_06077 |
| institution | arXiv |
| publishDate | 2021 |
| record_format | arxiv |
| spellingShingle | Estimation of future discretionary benefits in traditional life insurance Gach, Florian Hochgerner, Simon Methodology Risk Management In the context of life insurance with profit participation, the future discretionary benefits ($FDB$), which are a central item for Solvency~II reporting, are generally calculated by computationally expensive Monte Carlo algorithms. We derive analytic formulas to estimate lower and upper bounds for the $FDB$. This yields an estimation interval for the $FDB$, and the average of lower and upper bound is a simple estimator. These formulae are designed for real world applications, and we compare the results to publicly available reporting data. |
| title | Estimation of future discretionary benefits in traditional life insurance |
| topic | Methodology Risk Management |
| url | https://arxiv.org/abs/2101.06077 |