Generalized Frasier Claim Rates Under Survivorship Life Insurance Policies

Paul Margus

North American Actuarial Journal, 2002, vol. 6, issue 2, 76-94

Abstract: This paper proposes two modifications to the well-known Frasier formula, often used in the pricing, design, and valuation of survivorship life insurance policies: (1) allowing lapse rates to change after the first death and (2) reflecting simultaneous exposure to the same hazards, such as infectious diseases and common accidents, and possibly higher mortality among survivors. The purpose is to improve the pricing and valuation of survivorship life insurance. The paper will be of interest to actuaries doing pricing, GAAP valuation, self-support certifications, and to illustration actuaries. The results are important to reinsurers and direct writers. The paper includes numerical examples and compares the claim rates with and without the suggested modifications. The modified survivorship claim rates are considerably higher than those developed using pure Frasier, emphasizing the importance of learning to use these or similar methods.

Date: 2002
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DOI: 10.1080/10920277.2002.10596045

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