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Distribution of Surplus in Life Insurance

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  • Ramlau-Hansen, Henrik

Abstract

This paper discusses distribution of surplus in life insurance within a general Markov chain framework. A conservative interest rate and a conservative set of transition intensities are used for reserving purposes whereas more realistic assumptions are used for the purpose of distributing surplus. The paper examines various actuarial aspects of distributing surplus through either cash bonuses, terminal bonuses or increased benefits. The results are illustrated by some examples.

Suggested Citation

  • Ramlau-Hansen, Henrik, 1991. "Distribution of Surplus in Life Insurance," ASTIN Bulletin, Cambridge University Press, vol. 21(1), pages 57-71, April.
    • Handle: RePEc:cup:astinb:v:21:y:1991:i:01:p:57-71_00
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    Cited by:

    1. Møller, T., 2002. "On Valuation and Risk Management at the Interface of Insurance and Finance," British Actuarial Journal, Cambridge University Press, vol. 8(4), pages 787-827, October.
    2. Asmussen, Soren & Moller, Jakob R., 2003. "Risk comparisons of premium rules: optimality and a life insurance study," Insurance: Mathematics and Economics, Elsevier, vol. 32(3), pages 331-344, July.
    3. Julian Jetses & Marcus C. Christiansen, 2021. "A General Surplus Decomposition Principle in Life Insurance," Papers 2111.12967, arXiv.org.
    4. Jamaal Ahmad & Kristian Buchardt & Christian Furrer, 2020. "Computation of bonus in multi-state life insurance," Papers 2007.04051, arXiv.org, revised Nov 2023.
    5. Maurer, Raimond H., 2003. "Institutional investors in Germany: Insurance companies and investment funds," CFS Working Paper Series 2003/14, Center for Financial Studies (CFS).

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