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Erscheinungsjahr: 
2014
Schriftenreihe/Nr.: 
Tinbergen Institute Discussion Paper No. 14-117/IV/DSF80
Verlag: 
Tinbergen Institute, Amsterdam and Rotterdam
Zusammenfassung: 
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.
Schlagwörter: 
life insurance
multistate models
Markov process
surrender value
Cantelli theorem
Dokumentart: 
Working Paper
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