Mortality heterogeneity and life insurance:
Gespeichert in:
| 1. Verfasser: | |
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| Format: | Abschlussarbeit Buch |
| Sprache: | English |
| Veröffentlicht: |
2009
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| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | VIII, 120 S. graph. Darst. |
Internformat
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| 245 | 1 | 0 | |a Mortality heterogeneity and life insurance |c submitted by Gudrun Hoermann |
| 264 | 1 | |c 2009 | |
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| 502 | |a St. Gallen, Univ., Diss., 2009 |o Dissertation Nr. 3622 | ||
| 650 | 7 | |a Adverse Selection |2 stw | |
| 650 | 7 | |a Lebensversicherung |2 stw | |
| 650 | 7 | |a Sterblichkeit |2 stw | |
| 650 | 7 | |a Theorie |2 stw | |
| 650 | 7 | |a USA |2 stw | |
| 650 | 7 | |a Versicherungstechnik |2 stw | |
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Datensatz im Suchindex
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|---|---|
| adam_text | Titel: Mortality heterogeneity and life insurance
Autor: Hoermann, Gudrun
Jahr: 2009
Outline
1 Introduction 1
1.1 Motivation 1
1.2Research Objectives and Structure of the Thesis 2
2 Mortality Heterogeneity and Life Insurance Product Design 6
2.1 Enhanced Annuities and the Impact of Individual Underwriting on an
Insurer s Profit Situation 6
2.2 Optimal Risk Classification and Underwriting Risk for Substandard
Annuities 25
3 The Impact of Adverse Option Exercise Experience 51
3.1 The Impact of the Secondary Market on Life Insurers Surrender Profits 51
3.2Understanding the Death Benefit Switch Option in Universal Life
Policies 73
4 Summary 104
Contents
Outline
Contents
List of Figures
VII
List of Tables
Abstract
1 Introduction
1.1 Motivation
1.2 Research Objectives and Structure of the Thesis
2 Mortality Heterogeneity and Life Insurance Product Design
2.1 Enhanced Annuities and the Impact of Individual Underwriting on an
Insurer s Profit Situation
2.1.1 Introduction 6
2.1.2 The model framework
2.1.2.1 Individual mortality probabilities
2.1.2.2 Individual underwriting
2.1.2.3 The considered annuity contract and the portfolio of
insureds 1Zl
2.1.2.4 The impact of adverse selection *
2.1.3 Numerical analyses
2.1.3.1 Specification of parameters and simulation details 14
2.1.3.2 Results 17
2.1.4 Summary 22
2.2 Optimal Risk Classification and Underwriting Risk for Substandard
Annuities 25
2.2.1 Introduction 25
2.2.2 Substandard annuities and underwriting 2^
2.2.3 The model framework 32
2.2.3.1 Basic model 32
2.2.3.2 Optimal risk classification 36
2.2.3.3 Optimal risk classification and costs of underwriting risk 41
2.2.4 Model application and market reactions 45
2.2.5 Summary 49
The Impact of Adverse Option Exercise Experience 51
3.1 The Impact of the Secondary Market on Life Insurers Surrender Profits 51
3.1.1 Introduction 51
3.1.2 The model framework 54
3.1.2.1 The model of mortality heterogeneity 54
3.1.2.2 Net present value and premiums of the life insurance
contract 55
3.1.2.3 Policy reserves and surrender value of the life insurance
contract 56
3.1.2.4 The double-decrement model 57
3.1.3 Numerical analyses 60
3.1.3.1 Base case: Surrender leads to a positive net present value
for the insurer 61
3.1.3.2 The impact ofthe secondary market on surrender profits 64
3.1.3.3 Impact of age at inception on surrender profits 67
3.1.3.4 Selected additional numerical results 69
3.1.3.5 Policy implications 71
3.1.4 Summary 72
3.2Understanding the Death Benefit Switch Option in Universal Life
Policies 73
3.2.1 Introduction 73
3.2.2 The model framework 76
3.2.2.1 The universal life contract with increasing death benefit 76
3.2.2.2 The death benefit switch option 78
3.2.3 Contract valuation 82
3.2.3.1 Mortality heterogeneity 84
3.2.3.2 Switch probabilities 85
3.2.3.3 Short-rate process 85
3.2.3.4 Net present value ofthe death benefit switch option 86
3.2.4 Numerical analysis 88
3.2.4.1 Input parameters 88
3.2.4.2 Value ofthe universal life contract with increasing death
benefit 89
3.2.4.3 Value of the death benefit switch option by switch
exercise time and time of death 89
3.2.4.4 Value ofthe death benefit switch option by switch
probability 92
3.2.4.5 Value of the death benefit switch option by switch
probability and health status 93
3.2.4.6 Additional exercise scenarios 95
3.2.4.7 Sensitivity analysis with respect to the frailty distribution 97
3.2.5 Policy implications for an insurer 99
3.2.6 Summary 101
4 Summary 104
Appendix 107
A.1 Generation of the distribution of 11(4^,) 107
A.2 Adjustment of profit for Company A 107
Bibliography 109
Curriculum Vitae 120
List of Figures
Chapter 2
Chapter 2.1
Figure 1: Expected value of future profits as a function of the correlation
coefficient 18
Figure 2: Standard deviation of future profits as a function of the
correlation coefficient 19
Figure 3: Probability density function of future profits for 1,000 insured
persons 20
Figure 4: Probability density function of future profits for 100 insured
persons 21
Figure 5: Expected value of future profits as a function of the selection
percentage s 22
Chapter 2.2
Figure 1: Segmentation of the general population into H subpopulations
depending on mortality level (described by the frailty distribution) 33
Figure 2: Constant cost function gh and linear price-demand function fh
(in terms of the price P and as a function of the demand n) in
subpopulation h 36
Figure 3: Aggregate cost and price-demand function (in terms of the price
P and as a function of the demand n) in risk class i consisting
of two subpopulations s = l,2 38
Figure 4: Optimal profit-maximizing price-demand combination in risk
class i 41
Figure 5: Change of profit in risk class i when insureds are wrongly
classified to risk class j i with probability ptj =1 43
Chapter 3
Chapter 3.1
Figure 1: Base case—number of decrements in simulation; NPVS for
surrender and death at deterministic dates 63
Figure 2: Secondary market scenario—number of decrements due to
surrender and death with g^(af)=O% if d cf, qi,(d)s4%,
else, for t-%...,T 64
Figure 3: Secondary market scenario—number of decrements due to
surrender and death with qsx+l (d)=0% if d ct starting at age 65,
CXd) s4% else 67
Figure 4: Secondary market scenario—number of decrements due to
surrender and death in a portfolio with 55-year-old insureds at
contract inception with qsM (d) = 0% if d d*, £H(d) = 4%, else,
68
Chapter 3.2
Figure 1: Premiums, cash value, death benefit, and net amount at risk of
universal life policy with increasing death benefit 78
Figure 2: Level premium scenario—premiums, cash value, death benefit,
and net amount at risk of universal life policy with increasing
death benefit switched to level at time r $ 1
Figure 3: Risk premium scenario—premiums, cash value, death benefit,
and net amount at risk of universal life policy with increasing
death benefit switched to level at time r 82
Figure 4: Net present value (NPVOf ) of switch option by time of switch
exercise and time of death for 45-year-old insureds 91
Figure 5: Net present value ( NPV 1 ) of switch option for different switch
probabilities for 45-year-old insureds 82
Figure 6: Net present value ( NPV01 ) of switch option for different switch
probabilities depending on health status for 45-year-old insureds 94
Figure 7: Net present value {NPV0 ) of switch option for different
parameterizations of the frailty distribution for 45-year-old
insureds 98
List of Tables
Chapter 1
Chapter 1.2
Table 1: Research objectives and structure of the thesis 3
Chapter 2
Chapter 2.1
Table 1: Specification of simulation parameters 16
Chapter 3
Chapter 3.1
Table 1: Base case with 45-year-old male policyholder at inception—
premiums and surrender profits NPVS (results for one average
contract) 61
Table 2: Surrender profits NPVS for average surrender rate
^s+((c?)s3.2% /d,t (results for one contract on average) 66
Table 3: Base case with 55-year-old male policyholder at inception—
premiums and surrender profits NPVS (results for one
contract on average) 68
Table 4: Surrender rates depending on policy duration 69
Table 5: Surrender profits for surrender rates given in Table 4 in the
base case (no adverse exercise behavior) and secondary market
scenarios (exercise behavior depends on insured s health
status), including reduction with respect to base case 69
Chapter 3.2
Table 1: Net present value ( NP VOpt) of switch option for specific
exercise scenarios depending on the health status for 45-year-
old insureds 95
|
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| indexdate | 2024-07-09T22:05:29Z |
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| spelling | Hoermann, Gudrun 1979- Verfasser (DE-588)139431837 aut Mortality heterogeneity and life insurance submitted by Gudrun Hoermann 2009 VIII, 120 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier St. Gallen, Univ., Diss., 2009 Dissertation Nr. 3622 Adverse Selection stw Lebensversicherung stw Sterblichkeit stw Theorie stw USA stw Versicherungstechnik stw Versicherungstechnisches Risiko stw Sterbeziffer (DE-588)4267244-2 gnd rswk-swf Lebensversicherung (DE-588)4034928-7 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Sterbeziffer (DE-588)4267244-2 s Lebensversicherung (DE-588)4034928-7 s DE-188 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=018683791&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Hoermann, Gudrun 1979- Mortality heterogeneity and life insurance Adverse Selection stw Lebensversicherung stw Sterblichkeit stw Theorie stw USA stw Versicherungstechnik stw Versicherungstechnisches Risiko stw Sterbeziffer (DE-588)4267244-2 gnd Lebensversicherung (DE-588)4034928-7 gnd |
| subject_GND | (DE-588)4267244-2 (DE-588)4034928-7 (DE-588)4113937-9 |
| title | Mortality heterogeneity and life insurance |
| title_auth | Mortality heterogeneity and life insurance |
| title_exact_search | Mortality heterogeneity and life insurance |
| title_full | Mortality heterogeneity and life insurance submitted by Gudrun Hoermann |
| title_fullStr | Mortality heterogeneity and life insurance submitted by Gudrun Hoermann |
| title_full_unstemmed | Mortality heterogeneity and life insurance submitted by Gudrun Hoermann |
| title_short | Mortality heterogeneity and life insurance |
| title_sort | mortality heterogeneity and life insurance |
| topic | Adverse Selection stw Lebensversicherung stw Sterblichkeit stw Theorie stw USA stw Versicherungstechnik stw Versicherungstechnisches Risiko stw Sterbeziffer (DE-588)4267244-2 gnd Lebensversicherung (DE-588)4034928-7 gnd |
| topic_facet | Adverse Selection Lebensversicherung Sterblichkeit Theorie USA Versicherungstechnik Versicherungstechnisches Risiko Sterbeziffer Hochschulschrift |
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