Skip to main content
SpringerLink
Log in

Making use of netting effects when composing life insurance contracts

  • Original Research Article
  • Published:
European Actuarial Journal Aims and scope Submit manuscript

Abstract

In this paper, we discuss netting effects in life insurance policies provided by the natural hedge between payments that are due when sojourning in a state and when leaving a state. We uncover potentials for such netting effects with the help of a sensitivity analysis, and we quantify the effect on solvency reserves with the help of a worst-case analysis. The paper discusses a number of examples where netting effects occur and shows for which ratios between different benefit types the netting effects are strongest.

This is a preview of subscription content, log in via an institution to check access.

Access this article

Log in via an institution

Price excludes VAT (USA)
Tax calculation will be finalised during checkout.

Instant access to the full article PDF.

Institutional subscriptions

Fig. 1
Fig. 2
Fig. 3
Fig. 4
Fig. 5
Fig. 6
Fig. 7
Fig. 8
Fig. 9
Fig. 10

Similar content being viewed by others

References

  1. Christiansen MC (2008) A sensitivity analysis concept for life insurance with respect to a valuation basis of infinite dimension. Insur Math Econ 42:680–690

    Article  MathSciNet  MATH  Google Scholar 

  2. Christiansen MC (2010) Biometric worst-case scenarios for multi-state life insurance policies. Ins Math Econ 47:190–197

    Google Scholar 

  3. Christiansen MC, Denuit MM (2010) First-order mortality rates and safe-side actuarial calculations in life insurance. ASTIN Bull 40(2):587–614

    Google Scholar 

  4. Hoem JM (1969) Markov chain models in life insurance. Blätter der Deutschen Gesellschaft für Versicherungsmathematik 9:91–107

    Google Scholar 

  5. MARKT/2505/08. QIS4 Technical Specifications—Annex to Call for Advice from CEIOPS on QIS4

  6. Milbrodt H, Stracke A (1997) Markov models and Thiele’s integral equations for the prospective reserve. Insur Math Econ 19:187–235

    Article  MathSciNet  MATH  Google Scholar 

Download references

Acknowledgments

This work has partly been performed while the author visited the Universite Catholique de Louvain supported by a research grant of the German Research Foundation (DFG). The warm hospitality of the Institute of Statistics is gratefully acknowledged.

Author information

Authors and Affiliations

  1. Institute of Insurance Science, University of Ulm, 89081, Ulm, Germany

    Marcus C. Christiansen

Authors
  1. Marcus C. Christiansen
    View author publications

    You can also search for this author in PubMed Google Scholar

Corresponding author

Correspondence to Marcus C. Christiansen.

Rights and permissions

Reprints and permissions

About this article

Cite this article

Christiansen, M.C. Making use of netting effects when composing life insurance contracts. Eur. Actuar. J. 1 (Suppl 1), 47–60 (2011). https://doi.org/10.1007/s13385-011-0009-1

Download citation

  • Received:

  • Accepted:

  • Published:

  • Issue Date:

  • DOI: https://doi.org/10.1007/s13385-011-0009-1

Keywords

Search

Navigation