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Christiansen, Marcus C.
Denuit, Michel M.
Dhaene, Jan
Year of Publication: 
Series/Report no.: 
Tinbergen Institute Discussion Paper 14-117/IV/DSF80
Premiums and benefits associated with traditional life insurance contracts are usually specified as fixed amounts in policy conditions. However, reserve-dependent surrender values and reserve-dependent expenses are common in insurance practice. The famous Cantelli theorem in life insurance ensures that under appropriate assumptions surrendering can be ignored in reserve calculations provided the surrender payment equals the accumulated reserve. In this paper, more complex reserve-dependent payment patterns are considered, in line with insurance practice. Explicit formulas are derived for the corresponding reserve.
life insurance
multistate models
Markov process
surrender value
Cantelli theorem
Document Type: 
Working Paper

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