Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/107824 
Year of Publication: 
2014
Series/Report no.: 
Tinbergen Institute Discussion Paper No. 14-117/IV/DSF80
Publisher: 
Tinbergen Institute, Amsterdam and Rotterdam
Abstract: 
Premiums and benefits associated with traditional life insurance contracts are usually specified as fixed amounts in policy conditions. However, reserve-dependent surrender values and reserve-dependent expenses are common in insurance practice. The famous Cantelli theorem in life insurance ensures that under appropriate assumptions surrendering can be ignored in reserve calculations provided the surrender payment equals the accumulated reserve. In this paper, more complex reserve-dependent payment patterns are considered, in line with insurance practice. Explicit formulas are derived for the corresponding reserve.
Subjects: 
life insurance
multistate models
Markov process
surrender value
Cantelli theorem
Document Type: 
Working Paper

Files in This Item:
File
Size
292.35 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.