1 research outputs found
On Technical Bases and Surplus in Life Insurance
We revisit surplus on general life insurance contracts, represented by Markov
models. We classify technical bases in terms of boundary conditions in Thiele's
equation(s), allowing more general regulations than Scandinavian-style
`first-order/second-order' regimes, and replacing the traditional retrospective
policy value. We propose a `canonical' model with three technical bases
(premium, valuation, accumulation) and show how each pair of bases defines
premium loadings and surplus. Along with a `true' or `real-world' experience
basis, this expands fundamental results of Ramlau-Hansen (1988a). We conclude
with two applications: lapse-supported business; and the
retrospectively-oriented regime proposed by M{\o}ller & Steffensen (2007).Comment: 33 pages, 4 Figure