Life insurance liabilities with policyholder behaviour and stochastic rates
نویسندگان
چکیده
The problem of valuation of life insurance payments with policyholder behaviour is studied. First a simple survival model is considered, and it is shown how cash flows without policyholder behaviour can be modified to include surrender and free policy behaviour 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. This method has recently been suggested in a more general semi-Markov setup in Buchardt et al. [11]. We conclude the paper with numerical examples illustrating the methods proposed and the impact of policyholder behaviour.
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