Abstract
The paper investigates the financial dynamics of the surplus evolution in the case of deferred life schemes, in order to evaluate both the distributable earnings and the expected worst occurence for the portfolio surplus. The evaluation is based on a compact formulation of the insurance surplus defined as the difference between accrued assets and present value of relevant liabilities. The dynamic analysis is performed by means of Monte Carlo simulations in order to provide a year-by-year valuation. The analysis is applied to a deferred life scheme exemplar, considering that the selected contract constitutes the basis for many life insurance policies and pension plans. The evaluation is put into an asset and liability management decision-making context, where the relationships between profits and risks are compared in order to evaluate the main features of the whole portfolio.
Although the paper is the result of a joint study, Sections 1, 2 and 4 are by R. Cocozza, whilst Section 3 is by E. Di Lorenzo, A. Orlando and M. Sibillo.
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References
Cocozza, R., Di Lorenzo, E.: Solvency of life insurance companies: methodological issues. J. Actuarial Practice 13, 81–101 (2006)
Cocozza, R., Orlando, A.: Decision making in structured finance: a case of risk adjusted performance evaluation. In: Proceedings of the IV International Conference on Computational and Management Sciences, 20–22 April 2007, http://www.cms2007.unige.ch/
Cocozza, R., Di Lorenzo, E., Sibillo, S.: The current value of the mathematical provision: a financial risk prospect. Prob. Persp. Man. 5 (2007)
Lisenko, N., Parker, G.: Stochastic analysis of life insurance surplus. Proceedings of “AFIR Colloquium”, Stockholm 2007
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© 2010 Springer-Verlag Italia
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Cocozza, R., Di Lorenzo, E., Orlando, A., Sibillo, M. (2010). A financial analysis of surplus dynamics for deferred life schemes. In: Corazza, M., Pizzi, C. (eds) Mathematical and Statistical Methods for Actuarial Sciences and Finance. Springer, Milano. https://doi.org/10.1007/978-88-470-1481-7_9
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DOI: https://doi.org/10.1007/978-88-470-1481-7_9
Publisher Name: Springer, Milano
Print ISBN: 978-88-470-1480-0
Online ISBN: 978-88-470-1481-7
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