Robust assessment of life insurance products

Abstract

In this paper we propose a robust assessment for the net premium of a standard life
insurance contract with respect to the uncertainty on the estimated residual lifetime
distribution function. Specifically, we provide a method to derive the range of values
that the net premium of a given contract can attain when considering all residual
lifetime distribution functions that satisfy a L^2 distance constraint with a reference
distribution function.

Keywords: Model Risk, Longevity Risk, Insurance pricing, L^p distance, Actuarial value