Robust assessment of life insurance products

31 Pages Posted: 29 Apr 2022

See all articles by Carole Bernard

Carole Bernard

Grenoble Ecole de Management; Vrije Universiteit Brussel (VUB)

Corrado De Vecchi

Vrije Universiteit Brussel (VUB)

Steven Vanduffel

Vrije Universiteit Brussel (VUB)

Date Written: April 19, 2022

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

Suggested Citation

Bernard, Carole and De Vecchi, Corrado and Vanduffel, Steven, Robust assessment of life insurance products (April 19, 2022). Available at SSRN: https://ssrn.com/abstract=4087173 or http://dx.doi.org/10.2139/ssrn.4087173

Carole Bernard

Grenoble Ecole de Management ( email )

12, rue Pierre Sémard
Grenoble Cedex, 38003
France

Vrije Universiteit Brussel (VUB) ( email )

Pleinlaan 2
http://www.vub.ac.be/
Brussels, 1050
Belgium

Corrado De Vecchi (Contact Author)

Vrije Universiteit Brussel (VUB) ( email )

Pleinlaan 2
http://www.vub.ac.be/
Brussels, 1050
Belgium

Steven Vanduffel

Vrije Universiteit Brussel (VUB) ( email )

Pleinlaan 2
Brussels, Brabant 1050
Belgium

HOME PAGE: http://www.stevenvanduffel.com

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