Abstract
In this chapter I will complete the presentation of the entire modelling approach by introducing its second part, the liability modelling process. As mentioned at the beginning of Chap. 3 insurance specific data is provided by Helvetia. In order to understand the ideas of the liability modelling process certain knowledge of these data is quite helpful. So first of all we shall have a closer look at the available 111,437 policies captured as at the end of 2009. Basically the data can be separated into four categories of different insurance types: Endowment, whole life, term life and pure endowment insurance.
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- 1.
See Fig. A.1 in Appendix 6.1.
- 2.
The suggested definition here is different from the original one where the amount of the terminal bonus depends on the policy duration. Since the entire model is based on a portfolio cash flow consideration it is no longer possible to identify the individual term of each policy.
- 3.
Here ZCB prices were generated using the G2++ model.
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Rüfenacht, N. (2012). Liability Modelling Process. In: Implicit Embedded Options in Life Insurance Contracts. Contributions to Management Science. Physica, Heidelberg. https://doi.org/10.1007/978-3-7908-2843-6_4
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