Life Insurance Cash Flows with Policyholder Behavior

Kristian Buchardt and Thomas Møller
Additional contact information
Kristian Buchardt: PFA Pension, Sundkrogsgade 4, DK-2100 Copenhagen Ø, Denmark
Thomas Møller: PFA Pension, Sundkrogsgade 4, DK-2100 Copenhagen Ø, Denmark

Risks, 2015, vol. 3, issue 3, 1-28

Abstract: The problem of the valuation of life insurance payments with policyholder behavior is studied. First, a simple survival model is considered, and it is shown how cash flows without policyholder behavior can be modified to include surrender and free policy behavior by calculation of simple integrals. In the second part, a more general disability model with recovery is studied. Here, cash flows are determined by solving a modified Kolmogorov forward differential equation. We conclude the paper with numerical examples illustrating the methods proposed and the impact of policyholder behavior.

Keywords: Kolmogorov’s differential equations; surrender; free policy; Solvency 2 (search for similar items in EconPapers)
JEL-codes: C G0 G1 G2 G3 K2 M2 M4 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

Downloads: (external link)
https://www.mdpi.com/2227-9091/3/3/290/pdf (application/pdf)
https://www.mdpi.com/2227-9091/3/3/290/ (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:gam:jrisks:v:3:y:2015:i:3:p:290-317:d:53175

Access Statistics for this article

Risks is currently edited by Mr. Claude Zhang

More articles in Risks from MDPI
Bibliographic data for series maintained by MDPI Indexing Manager ().