A financial analysis of surplus dynamics for deferred life schemes

Rosa Cocozza, Emilia Di Lorenzo, Albina Orlando and Marilena Sibillo
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Rosa Cocozza: University of Naples Federico II, Department of Business Administration
Emilia Di Lorenzo: University of Naples Federico II, Department of Business Administration
Albina Orlando: National Research Council, Istituto per le Applicazioni del Calcolo “Mauro Picone”

A chapter in Mathematical and Statistical Methods for Actuarial Sciences and Finance, 2010, pp 85-92 from Springer

Abstract: Abstract The paper investigates the financial dynamics of the surplus evolution in the case of deferred life schemes, in order to evaluate both the distributable earnings and the expected worst occurence for the portfolio surplus. The evaluation is based on a compact formulation of the insurance surplus defined as the difference between accrued assets and present value of relevant liabilities. The dynamic analysis is performed by means of Monte Carlo simulations in order to provide a year-by-year valuation. The analysis is applied to a deferred life scheme exemplar, considering that the selected contract constitutes the basis for many life insurance policies and pension plans. The evaluation is put into an asset and liability management decision-making context, where the relationships between profits and risks are compared in order to evaluate the main features of the whole portfolio.

Keywords: financial risk; solvency; life insurance (search for similar items in EconPapers)
Date: 2010
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-88-470-1481-7_9

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DOI: 10.1007/978-88-470-1481-7_9

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