1,720,982 research outputs found
A Modified Risk Theory Model: Theoretical Analysis of Dividends
No full textThis paper refers to the classical collective risk theory model, mod-ified by the inclusion of a double reflecting barrier. In fact, both the presence of a lower horizontal barrier (i.e. a dynamic solvency insur-ance contract) and a particular kind of upper barrier are considered. A theoretical analysis of dividends paid by the Company is given. In this context, a stochastic process to model the force of interest accumula-tion function is assumed, in order to study the dividends expected present value
Modellizzazione delle intensità di interesse e di transizione in contratti di assicurazione vita
No full text
A Note on Life Insurance Contracts Evaluation
No full textDiscussion Paper n 29, Sezione di Economia Politica e Studi Economici Internazionali, Facoltà di Economia, Università degli Studi di Genova
A Markov process interest and mortality model
No full textFor several years stochastic models have been proposed that are able to capture uncertainty linked to the future development both of financial and demographic components inherent in the policy. We consider a multistate life insurance contract and propose a model where both the interest intensity and the transition intensities, the latter describing the demographic structure, are managed by multistate stochastic models. In particular, we study a life insurance contract and derive differential equations of the mathematical prospective reserve. Finally, we study mean values of actualization factors and survival probabilities, and derive the differential equations they satisfy. Such results allow us to obtain adequate premium flows.
Mathematics Sub ject Classifications (2000). 60J27, 91B30, 91B7
Thiele's differential equation generalized
No full textA general model for the evaluation of insurance policies by means of the mathematical reserve is determined. We obtain an expression which allows us to draw generalized versions of the traditional Thiele’s equation in different stochastic hypothesis, both for the actualization and for the mortality intensity and, more in general, for the transition intensities.
Mathematics Sub ject Classifications (2000). 91B28, 91B30, 91B7
On the Expected Present Value of the Dividend Payments under a Dependence Structure Assumption
No full textA note on the satisfaction levels of two agents subscribing an insurance policy
No full textInsurance Markets and Companies: Analyses and Actuarial Computations, Volume 4, Issue 2, 2013
Maria Erminia Marina (Italy), Marina Ravera (Italy)
A note on the satisfaction levels of two agents subscribing
an insurance policy
Abstract
Classical actuarial theory focuses on insurance problems and in particular on the determination of a premium for the insured risk. However, once a premium has been chosen, at the end of the insurance period it may happen that the policy has been disadvantageous either for the insurer or for the customer. In fact, the premium was not set high enough to cover the total claim amount or, vice versa, it was too high from the customer point of view. Our aim is to introduce, for each agent, a measurement in order to value how he is restrained in his possibilities. More precisely, the authors define two “satisfaction levels” that compare the increment in the expected utility that each agent has subscribing the insurance policy, with the increment in the expected utility that he could have if, unrealistically speaking, the insurer (customer) could withdraw from the contract in the case where the total claim amount is larger (smaller) than the premium, so that he never could have losses. Under assumptions, the authors show that the satisfaction levels are linked to the risk aversion of the agents, proving that inequalities comparing risk aversion of two insurers (customers) are related to inequalities between their satisfaction levels. Finally, the determination of a “fair” premium for an insurance contract is considered
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