6533b874fe1ef96bd12d6012

RESEARCH PRODUCT

The Fair Premium of an Equity—Linked Life and Pension Insurance

Klaus SandmanneJ. Aase Nielsen

subject

PensionActuarial scienceFinancial economicsLife insuranceInsurance policyAuto insurance risk selectionEconomicsCasualty insuranceLiability insuranceGeneral insuranceLiquidity premium

description

An equity linked life and pension insurance contract consists of an nonlinear combination of a life and pension insurance with an investment strategy. In addition to the guaranteed payments the insured receives a bonus depending on the value of an investment strategy. The additional payment is similar to an Asian type option. Since the insurance contract combines mortality and financial risks in a nonlinear way, the value or premium of the contract must reflect these uncertainties. Within this context a premium sequence is called fair if the accumulated expected discounted premium is equal to the accumulated expected discounted payments of the contract. This paper shows the existence of a fair periodic premium. For two different pension policies an approximation of the fair periodic premium is derived.

yearjournalcountryeditionlanguage
2002-01-01
https://doi.org/10.1007/978-3-662-04790-3_12