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An Algorithm Evaluating Generalized Life Insurance Programs

Author

Listed:
  • B. Levikson

    (The University of Haifa)

  • E. Frostig

    (The University of Haifa)

  • D. Bshouty

    (Technion-Israel Institute of Technology)

Abstract

We study generalized life insurance (GLI) models in continuous time. These models are presented as non-homogeneous Semi-Markov processes and studied directly as such. We give an algorithm, based on recursive integral scheme, finding the expected present value of premium payments and of benefits outgo, thus enabling us to find the annual premium. An algorithm based on this method is applied numerically using real data set to calculate the above quantities for a GLI contract.

Suggested Citation

  • B. Levikson & E. Frostig & D. Bshouty, 2001. "An Algorithm Evaluating Generalized Life Insurance Programs," Methodology and Computing in Applied Probability, Springer, vol. 3(3), pages 329-340, September.
    • Handle: RePEc:spr:metcap:v:3:y:2001:i:3:d:10.1023_a:1013783325730
    DOI: 10.1023/A:1013783325730
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    References listed on IDEAS

    as
    1. Norberg, Ragnar, 1995. "Differential equations for moments of present values in life insurance," Insurance: Mathematics and Economics, Elsevier, vol. 17(2), pages 171-180, October.
    2. Hesselager, Ole & Norberg, Ragnar, 1996. "On probability distributions of present values in life insurance," Insurance: Mathematics and Economics, Elsevier, vol. 18(1), pages 35-42, May.
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