Estimation of future discretionary benefits in traditional life insurance

Florian Gach and Simon Hochgerner

Papers from arXiv.org

Abstract: In the context of life insurance with profit participation, the future discretionary benefits ($FDB$), which are a central item for Solvency~II reporting, are generally calculated by computationally expensive Monte Carlo algorithms. We derive analytic formulas to estimate lower and upper bounds for the $FDB$. This yields an estimation interval for the $FDB$, and the average of lower and upper bound is a simple estimator. These formulae are designed for real world applications, and we compare the results to publicly available reporting data.

Date: 2021-01, Revised 2022-07
New Economics Papers: this item is included in nep-ias and nep-rmg
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Published in ASTIN Bulletin: The Journal of the IAA , Volume 52, Issue 3 (2022), pp. 835 - 876

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2101.06077

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