Retrospective Reserves and Bonus with Policyholder Behavior
28 Pages Posted: 8 May 2020
Date Written: April 14, 2020
Abstract
Legislation imposes insurance companies to project their assets and liabilities. Within the setup of with-profit life insurance, we consider retrospective reserves and bonus, and we study projection of balances with and without policyholder behavior. The projection resides in a system of ordinary differential equations of the savings account and the surplus, and we include the policyholder behavior options surrender and conversion to free-policy. The inclusion results in a structure where a system of ordinary differential equations of the savings account and the surplus is non-trivial. We consider a case, where we are able to find accurate ordinary differential equation and suggest an approximation method to project the savings account and the surplus including policyholder behavior in general.
Keywords: Retrospective Reserves, Bonus, Policyholder Behavior, FMA, Dividends, With-profit Insurance
JEL Classification: G22
Suggested Citation: Suggested Citation