Gespeichert in:
| Hauptverfasser: | , , |
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| Format: | Preprint |
| Veröffentlicht: |
2025
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| Schlagworte: | |
| Online-Zugang: | https://arxiv.org/abs/2509.00011 |
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Inhaltsangabe:
- We review Markov models of surplus in life insurance based on a counting process following Norberg (1991), uniting probabilistic theory with elements of practice largely drawn from UK experience. First, we organize models systematically based on one and two technical bases, including a suitable descriptive notation. Extending this to three technical bases to accommodate different valuation approaches leads us: (a) to expand the definition of 'technical basis' to include non-contractual cashflows recognized in the associated Thiele equation; and (b) to add new (mainly) systematic terms to the surplus. Making these cashflows dynamic or 'quasi-contractual' covers many real applications, and we give two as examples, the paid-up valuation principle and reversionary bonus on participating contracts.