Robust assessment of life insurance products
31 Pages Posted: 29 Apr 2022
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: 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
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