The paper focuses on the fair valuation of the stochastic reserve of a life policy portfolio. The method, presented for life annuities because of their particular importance in the life insurance market, substantially fits any kind of life policy portfolio. The quantitative approach starts from regulatory and managerial outlines aimed to indicate the reserve quantification as a mark-to-market valuation of the outstanding liabilities. Numerical examples clarify the valuation scheme, comparing the current values of projected cash-flows and the corresponding ones calculated at the contractual rate.
Fair valuation scheme for life annuity contracts / Coppola, Mariarosaria; DI LORENZO, Emilia; Sibillo, M.. - (2005). (Intervento presentato al convegno Xi International Symposium on applied stochastic models and data analysis tenutosi a Brest - Francia nel 17-20 maggio 2005).
Fair valuation scheme for life annuity contracts
COPPOLA, MARIAROSARIA;DI LORENZO, EMILIA;
2005
Abstract
The paper focuses on the fair valuation of the stochastic reserve of a life policy portfolio. The method, presented for life annuities because of their particular importance in the life insurance market, substantially fits any kind of life policy portfolio. The quantitative approach starts from regulatory and managerial outlines aimed to indicate the reserve quantification as a mark-to-market valuation of the outstanding liabilities. Numerical examples clarify the valuation scheme, comparing the current values of projected cash-flows and the corresponding ones calculated at the contractual rate.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
