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Estimation Of Future Discretionary Benefits In Traditional Life Insurance

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  • Gach, Florian
  • Hochgerner, Simon

Abstract

In the context of life insurance with profit participation, the future discretionary benefits (FDB), which are a central item for Solvency II reporting, are generally calculated by computationally expensive Monte Carlo algorithms. We derive analytic formulas to estimate lower and upper bounds for the FDB. This yields an estimation interval for the FDB, and the average of lower and upper bound is a simple estimator. These formulae are designed for real world applications, and we compare the results to publicly available reporting data.

Suggested Citation

  • Gach, Florian & Hochgerner, Simon, 2022. "Estimation Of Future Discretionary Benefits In Traditional Life Insurance," ASTIN Bulletin, Cambridge University Press, vol. 52(3), pages 835-876, September.
    • Handle: RePEc:cup:astinb:v:52:y:2022:i:3:p:835-876_6
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    Cited by:

    1. Florian Gach & Simon Hochgerner & Eva Kienbacher & Gabriel Schachinger, 2023. "Mean-field Libor market model and valuation of long term guarantees," Papers 2310.09022, arXiv.org, revised Nov 2023.
    2. Manuel Hasenbichler & Wolfgang Muller & Stefan Thonhauser, 2023. "The Mean Field Market Model Revisited," Papers 2402.10215, arXiv.org.

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