CLASSIFICATION OF REINSURANCE IN LIFE INSURANCE
|
|
- Marian Allen
- 8 years ago
- Views:
Transcription
1 CLASSIFICATION OF REINSURANCE IN LIFE INSURANCE Kaarína Sakálová 1. Classificaions of reinsurance There are many differen ways in which reinsurance may be classified or disinguished. We will discuss briefly some of hem. Ceded/Assumed/Reroceded Ceded means he ransfer of an insurance risk from he company, which originally issued he policy, called he ceding company, o anoher insurance company, called he reinsurer. So he ceding company underwries and issues an original policy and conracually ransfers a porion of risk o an insurer. A reinsurer is no obligaed o reain all risks, which i has assumed. I may decide o rerocede o anoher company all or some porion of risks i has assumed. A ceding reinsurer is reinsurer, which ransfers a porion of he underlying reinsurance o a rerocessionnaire. Indemniy/Assumpion Assumpion means a form of reinsurance under which policy adminisraion and he conracual relaionship wih he insured, as well as all liabiliies, passes o he reinsurer. Indemniy reinsurance is a form of reinsurance under which he risk bu no he adminisraion is passed o he reinsurer which indemnifies he ceding company for losses covered by he reinsurance agreemen reay. The ceding company reains is liabiliy o and is conracual relaionship wih he insured. Proporional/Nonproporional Reinsurance may be conduced on eiher a proporional or a nonproporional basis. Proporional is a form of reinsurance where he amoun ceded is defined a he ime of cession so he reinsuring company knows, before a claim arises exacly wha is liabiliy is. There are many mehods of deermining he proporion of reinsurance ceded, and he
2 proporion may vary by policy duraion. Nonproporional is a form of reinsurance where he reinsurer s liabiliy is no fixed in advance, bu is dependen on he number or amoun of claims incurred in a given period. Auomaic/Faculaive A reinsurance reay may allow business o be ceded on eiher an auomaic or a faculaive basis. An auomaic reinsurance reay provides ha he ceding company is allowed o cede risks issued in excess of is reenion limi, o a specific reinsurer a a predeermined cos wihou submiing underwriing papers o he reinsurer for approval. A faculaive reinsurance reay provides ha a reinsurer mus approve each individual risk before i has any liabiliy. There exis also many variaions of hese wo mehods. Tradiional/Financial Tradiional reinsurance refers o reinsurance arrangemens where he primary purpose is he ransfer of risk. Financial reinsurance refers o reinsurance arrangemens where he primary purpose is he achievemen of a specific business objecive such as increasing sauory surplus, reducing axes, or acquiring blocks of business. The risk ransfer is secondary o he business purpose. 2. Proporional reinsurance conrac The main mehods of proporional reinsurance conrac may be caegorised on coinsurance (original erms) and risk premium. a) Coinsurance (original erms) If he company adop he coinsurance mehod of reinsurance, his can be o one of he following basis individual surplus arrangemens or quoa-share basis. These are wo ways in which he amoun o reinsured can be specified. Individual surplus arrangemen resuls in he reinsurance of ha par of original sum insured in excess of he ceding company s reenion on any individual life. Alernaively, he reinsurance may be on a quoa-share basis, in which case a specified percenage of each policy is reinsured. A company may adop a mixure of he above, reaining for iself a percenage of each policy
3 up o a maximum reenion. For example a company migh reinsure 25 % of every policy up o a maximum original sum assured of m.u., and whole of any amoun in excess of m.u. When he coinsurance mehod is used, he company se up acuarial reserves for he original sum assured and can hen deduc he acuarial reserves relaing o he reinsured porion. b) Risk premium (or Yearly renewable erm) mehod The ceding company reinsures par of he sum a risk, i.e. he excess of he benefi payable over he reserve, wih he reinsurer on a yearly renewable risk premium basis. Reinsured is only he moraliy elemen. Moraliy facor is S( ) q If a company reinsures an amoun of sum assured R, using he risk premium mehod, hen he reinsured amoun in each year is ( ) R 1, pre = 0,1,2,..., n 1. So if he reinsured person died in he firs year, he reinsurer pays an amoun ( 0 = 0 ) R o he ceding company. If deah occurs in he following years (because amoun paid o he ceding company by reinsurer is decreasing. is increasing) he There are wo approaches commonly used o deermine he amoun of he sum a risk each year ha is reinsured. In he case of he risk premium mehod he mehods corresponding o he mehods of coinsurance are he consan reenion mehod - he excess, if any, of he sum a risk above a specified amoun is reinsured he reducing reenion mehod - a specified percenage of he sum a risk is reinsured. Under he CRM he ceding company begins wih reaining a amoun decreases (as he reserves increase) ( S S ) ( S R) = ( R S ). S R and reinsured
4 So a he beginning (reserve is zero) he reained sum is consan S R and is consan, bu he reinsured amoun is decreasing (and posiive) ill i reaches zero (reserves increase) a which ime he reinsurance ceases. Under he RRM insurer reinsures from sum a risk he par reained sum is ( S S ) ( R R ) = ( S R) ( ) 1. R R and he So a he beginning (reserve is zero) is reinsurers reenion limi decreases over he full erm of he policy as he reserve increases. S R consan and In summary, he reained sum a risk under RRM decreases a he same rae as he sum a risk under he reained porion. Under he CRM, he reinsured sum a risk decreases a he same rae a which he reserves under he original policy increase. CRM RRM Toal sum a risk S S S S Reinsured amoun max { R S, 0 } R R Reained sum a risk min { S R, S S } ( S R)( 1 ) Risk premiums are usually paid annually, irrespecive of he frequency of paymen of premiums under he original policy, bu monhly risk premiums may be paid for cerain uniised policies. The risk premium paid will reflec he probabiliy of a claim arising in ha year associaed wih he expeced value of he benefis payable under ha claim.
5 Risk premium wih financing commission. The risk premium reinsurance mehod can be associaed wih a financing arrangemen whereby he reinsurer relieves he ceding company of par of is new business financing requiremen. 3. Non-proporional mehods The non-proporional reinsurance is used primarily o reduce flucuaions in oal claims. Under each of hese forms, he reinsurance risk and coverage applies o a block of risks, no o individual risks. a) Caasrophe reinsurance The aim of caasrophe reinsurance is o reduce he poenial loss - o he ceding company - due o any non-independence of he risk insured. So i proecs he ceding company agains muliple single claims from a single even such as a plane crash, a fire or some oher acciden or naural disaser. The cover is usually only available on a yearly basis and has o be renewed each year. The covered evens mus be carefully defined and may exclude epidemics, wars, nuclear hazards or cerain specified evens. Reinsurance proecs he company from unplanned random concenraions of risks or claims. The reinsuring company will agree o pay ou if a caasrophe - as defined in he reinsurance conrac - occurs. There is no sandard definiion of wha consiues a caasrophe, bu ypically o qualify here needs o be a minimum number - say 5 - deahs from a single inciden wih he deahs occurring wihin a specified ime - say 48 hours - of ha inciden. The reinsurance conrac will also specify how much he reinsuring company will pay if a caasrophe occurs. b) Sop loss Sop loss coverage provides proecion agains an excessive number or amoun of claims in any given conrac period. I is a form of reinsurance under which he reinsurer pays some of all of a ceding company aggregae claims in excess of a predeermined amoun (aachmen poin). For life insurance sop loss applies o a block of policies, no jus o one life. I is used more commonly in conjuncion wih proporional reinsurance.
6 c) Spread loss Spread loss is a form of reinsurance under which premiums are paid during good years o build up a fund from which losses are recovered in bad years. This agreemen provides coverage if a company s losses in a given year exceeded a specified aachmen poin. Which ogeher wih reinsurer s paricipaion can be defined in a manner similar o ha used for sop loss. If a claim occurs, he reinsurer would pay he ceding company and he ceding company would he repay he amoun of claim wih ineres over a period of years, hus spreading he loss. In his radiional form, spread loss reinsurance is no really a form of reinsurance, bu is more a means of changing he iming of cash flows. In essence spread loss reinsurance is a ype of loan. References. 1. LIFE INSURANCE. Modul F. Insiue of Acuaries, Oxford, Neill, A.: Life Coningencies. The Insiue and he Faculy of Acuaries, Oxford Sakálová, K., Peller, F.: ýznam a meódy zaisenia v živonom poisení. Ekonomický časopis SA, Braislava 3/2004, s Sakálová, K.: Oceňovanie produkov v živonom poisení. Ekonóm. Braislava Spedding, A.: Life reinsurance. The Insiue of Acuaries, Oxford Tiller, J., E., Fagerberg, D.: Life, healh and annuiy reinsurance. ACTEX Publicaions, Connecicu, 1995.
PROFIT TEST MODELLING IN LIFE ASSURANCE USING SPREADSHEETS PART ONE
Profi Tes Modelling in Life Assurance Using Spreadshees PROFIT TEST MODELLING IN LIFE ASSURANCE USING SPREADSHEETS PART ONE Erik Alm Peer Millingon 2004 Profi Tes Modelling in Life Assurance Using Spreadshees
More informationChapter Four: Methodology
Chaper Four: Mehodology 1 Assessmen of isk Managemen Sraegy Comparing Is Cos of isks 1.1 Inroducion If we wan o choose a appropriae risk managemen sraegy, no only we should idenify he influence ha risks
More informationIndividual Health Insurance April 30, 2008 Pages 167-170
Individual Healh Insurance April 30, 2008 Pages 167-170 We have received feedback ha his secion of he e is confusing because some of he defined noaion is inconsisen wih comparable life insurance reserve
More informationDuration and Convexity ( ) 20 = Bond B has a maturity of 5 years and also has a required rate of return of 10%. Its price is $613.
Graduae School of Business Adminisraion Universiy of Virginia UVA-F-38 Duraion and Convexiy he price of a bond is a funcion of he promised paymens and he marke required rae of reurn. Since he promised
More information2.5 Life tables, force of mortality and standard life insurance products
Soluions 5 BS4a Acuarial Science Oford MT 212 33 2.5 Life ables, force of moraliy and sandard life insurance producs 1. (i) n m q represens he probabiliy of deah of a life currenly aged beween ages + n
More informationFifth Quantitative Impact Study of Solvency II (QIS 5) National guidance on valuation of technical provisions for German SLT health insurance
Fifh Quaniaive Impac Sudy of Solvency II (QIS 5) Naional guidance on valuaion of echnical provisions for German SLT healh insurance Conens 1 Inroducion... 2 2 Calculaion of bes-esimae provisions... 3 2.1
More informationLECTURE: SOCIAL SECURITY HILARY HOYNES UC DAVIS EC230 OUTLINE OF LECTURE:
LECTURE: SOCIAL SECURITY HILARY HOYNES UC DAVIS EC230 OUTLINE OF LECTURE: 1. Inroducion and definiions 2. Insiuional Deails in Social Securiy 3. Social Securiy and Redisribuion 4. Jusificaion for Governmen
More informationThe Grantor Retained Annuity Trust (GRAT)
WEALTH ADVISORY Esae Planning Sraegies for closely-held, family businesses The Granor Reained Annuiy Trus (GRAT) An efficien wealh ransfer sraegy, paricularly in a low ineres rae environmen Family business
More informationLongevity 11 Lyon 7-9 September 2015
Longeviy 11 Lyon 7-9 Sepember 2015 RISK SHARING IN LIFE INSURANCE AND PENSIONS wihin and across generaions Ragnar Norberg ISFA Universié Lyon 1/London School of Economics Email: ragnar.norberg@univ-lyon1.fr
More informationDYNAMIC MODELS FOR VALUATION OF WRONGFUL DEATH PAYMENTS
DYNAMIC MODELS FOR VALUATION OF WRONGFUL DEATH PAYMENTS Hong Mao, Shanghai Second Polyechnic Universiy Krzyszof M. Osaszewski, Illinois Sae Universiy Youyu Zhang, Fudan Universiy ABSTRACT Liigaion, exper
More informationPresent Value Methodology
Presen Value Mehodology Econ 422 Invesmen, Capial & Finance Universiy of Washingon Eric Zivo Las updaed: April 11, 2010 Presen Value Concep Wealh in Fisher Model: W = Y 0 + Y 1 /(1+r) The consumer/producer
More informationTable of contents Chapter 1 Interest rates and factors Chapter 2 Level annuities Chapter 3 Varying annuities
Table of conens Chaper 1 Ineres raes and facors 1 1.1 Ineres 2 1.2 Simple ineres 4 1.3 Compound ineres 6 1.4 Accumulaed value 10 1.5 Presen value 11 1.6 Rae of discoun 13 1.7 Consan force of ineres 17
More informationChapter 9 Bond Prices and Yield
Chaper 9 Bond Prices and Yield Deb Classes: Paymen ype A securiy obligaing issuer o pay ineress and principal o he holder on specified daes, Coupon rae or ineres rae, e.g. 4%, 5 3/4%, ec. Face, par value
More informationLife insurance cash flows with policyholder behaviour
Life insurance cash flows wih policyholder behaviour Krisian Buchard,,1 & Thomas Møller, Deparmen of Mahemaical Sciences, Universiy of Copenhagen Universiesparken 5, DK-2100 Copenhagen Ø, Denmark PFA Pension,
More informationARCH 2013.1 Proceedings
Aricle from: ARCH 213.1 Proceedings Augus 1-4, 212 Ghislain Leveille, Emmanuel Hamel A renewal model for medical malpracice Ghislain Léveillé École d acuaria Universié Laval, Québec, Canada 47h ARC Conference
More informationMANAGING LONGEVITY RISKS IN THE FINANCIAL MARKETS: INNOVATE OR DIE
UNIVERSITÉ PARIS-DAUPHINE Chaire: «Les Pariculiers face au Risque» Séminaire Ageing and Risk MANAGING LONGEVITY RISKS IN THE FINANCIAL MARKETS: INNOVATE OR DIE JORGE MIGUEL BRAVO Universiy of Évora, Deparmen
More information11/6/2013. Chapter 14: Dynamic AD-AS. Introduction. Introduction. Keeping track of time. The model s elements
Inroducion Chaper 14: Dynamic D-S dynamic model of aggregae and aggregae supply gives us more insigh ino how he economy works in he shor run. I is a simplified version of a DSGE model, used in cuing-edge
More informationUNDERSTANDING THE DEATH BENEFIT SWITCH OPTION IN UNIVERSAL LIFE POLICIES. Nadine Gatzert
UNDERSTANDING THE DEATH BENEFIT SWITCH OPTION IN UNIVERSAL LIFE POLICIES Nadine Gazer Conac (has changed since iniial submission): Chair for Insurance Managemen Universiy of Erlangen-Nuremberg Lange Gasse
More informationCan Life Insurance be used to Hedge Payout Annuities? Part 1: Modeling Longevity Risk
Can Life Insurance be used o Hedge Payou Annuiies? Par 1: Modeling Longeviy Risk M.A. Milevsky milevsky@yorku.ca and S.D. Promislow promis@yorku.ca Summer 2003 York Universiy, Torono 4700 Keele Sree. Onario,
More informationChapter 6 Interest Rates and Bond Valuation
Chaper 6 Ineres Raes and Bond Valuaion Definiion and Descripion of Bonds Long-erm deb-loosely, bonds wih a mauriy of one year or more Shor-erm deb-less han a year o mauriy, also called unfunded deb Bond-sricly
More informationHow To Calculate A Person'S Income From A Life Insurance
How Much Life Insurance o You Need? Chris Robinson 1 and Vicoria Zaremba 2 Augus 14, 2012 Absrac We presen formal models of he differen mehods of esimaing a person s required life insurance coverage. The
More informationHedging with Forwards and Futures
Hedging wih orwards and uures Hedging in mos cases is sraighforward. You plan o buy 10,000 barrels of oil in six monhs and you wish o eliminae he price risk. If you ake he buy-side of a forward/fuures
More informationSHB Gas Oil. Index Rules v1.3 Version as of 1 January 2013
SHB Gas Oil Index Rules v1.3 Version as of 1 January 2013 1. Index Descripions The SHB Gasoil index (he Index ) measures he reurn from changes in he price of fuures conracs, which are rolled on a regular
More informationBALANCE OF PAYMENTS. First quarter 2008. Balance of payments
BALANCE OF PAYMENTS DATE: 2008-05-30 PUBLISHER: Balance of Paymens and Financial Markes (BFM) Lena Finn + 46 8 506 944 09, lena.finn@scb.se Camilla Bergeling +46 8 506 942 06, camilla.bergeling@scb.se
More informationMarkit Excess Return Credit Indices Guide for price based indices
Marki Excess Reurn Credi Indices Guide for price based indices Sepember 2011 Marki Excess Reurn Credi Indices Guide for price based indices Conens Inroducion...3 Index Calculaion Mehodology...4 Semi-annual
More informationDeveloping Equity Release Markets: Risk Analysis for Reverse Mortgage and Home Reversion
Developing Equiy Release Markes: Risk Analysis for Reverse Morgage and Home Reversion Daniel Alai, Hua Chen, Daniel Cho, Kaja Hanewald, Michael Sherris Developing he Equiy Release Markes 8 h Inernaional
More informationACTUARIAL FUNCTIONS 1_05
ACTUARIAL FUNCTIONS _05 User Guide for MS Office 2007 or laer CONTENT Inroducion... 3 2 Insallaion procedure... 3 3 Demo Version and Acivaion... 5 4 Using formulas and synax... 7 5 Using he help... 6 Noaion...
More informationThis page intentionally left blank
This page inenionally lef blank Marke-Valuaion Mehods in Life and Pension Insurance In classical life insurance mahemaics, he obligaions of he insurance company owards he policy holders were calculaed
More informationDouble Entry System of Accounting
CHAPTER 2 Double Enry Sysem of Accouning Sysem of Accouning \ The following are he main sysem of accouning for recording he business ransacions: (a) Cash Sysem of Accouning. (b) Mercanile or Accrual Sysem
More informationThe Time Value of Money
THE TIME VALUE OF MONEY CALCULATING PRESENT AND FUTURE VALUES Fuure Value: FV = PV 0 ( + r) Presen Value: PV 0 = FV ------------------------------- ( + r) THE EFFECTS OF COMPOUNDING The effecs/benefis
More informationFair Valuation and Risk Assessment of Dynamic Hybrid Products in Life Insurance: A Portfolio Consideration
Fair Valuaion and Risk ssessmen of Dynamic Hybrid Producs in ife Insurance: Porfolio Consideraion lexander Bohner, Nadine Gazer Working Paper Deparmen of Insurance Economics and Risk Managemen Friedrich-lexander-Universiy
More informationMathematics in Pharmacokinetics What and Why (A second attempt to make it clearer)
Mahemaics in Pharmacokineics Wha and Why (A second aemp o make i clearer) We have used equaions for concenraion () as a funcion of ime (). We will coninue o use hese equaions since he plasma concenraions
More informationChapter 4: Exponential and Logarithmic Functions
Chaper 4: Eponenial and Logarihmic Funcions Secion 4.1 Eponenial Funcions... 15 Secion 4. Graphs of Eponenial Funcions... 3 Secion 4.3 Logarihmic Funcions... 4 Secion 4.4 Logarihmic Properies... 53 Secion
More informationChapter 8: Regression with Lagged Explanatory Variables
Chaper 8: Regression wih Lagged Explanaory Variables Time series daa: Y for =1,..,T End goal: Regression model relaing a dependen variable o explanaory variables. Wih ime series new issues arise: 1. One
More informationGet a GRIP: Should Area Revenue Coverage Be Offered through the Farm Bill or as a Crop Insurance Program?
Ge a GRIP: Should Area Revenue Coverage Be Offered hrough he Farm Bill or as a Crop Insurance Program? Nicholas Paulson and Bruce A. Babcock Working Paper 07-WP 440 January 2007 Cener for Agriculural and
More informationBALANCE OF PAYMENTS AND FINANCIAL MA REPORT 2015. All officiell statistik finns på: www.scb.se Statistikservice: tfn 08-506 948 01
RKET BALANCE OF PAYMENTS AND FINANCIAL MA REPORT 2015 All officiell saisik finns på: www.scb.se Saisikservice: fn 08-506 948 01 All official saisics can be found a: www.scb.se Saisics service, phone +46
More informationEmbedded Value Calculation for. a Life Insurance Company
Embedded Value alculaion for a Life Insurance ompany Frédéric Tremblay Frédéric Tremblay, FSA, FIA, is an Acuarial onsulan, Indusrial Alliance, orporae Acuarial Serices, 8 Grande Allée Oues,.P. 97, Succ.
More informationChapter 6: Business Valuation (Income Approach)
Chaper 6: Business Valuaion (Income Approach) Cash flow deerminaion is one of he mos criical elemens o a business valuaion. Everyhing may be secondary. If cash flow is high, hen he value is high; if he
More informationMarkov Chain Modeling of Policy Holder Behavior in Life Insurance and Pension
Markov Chain Modeling of Policy Holder Behavior in Life Insurance and Pension Lars Frederik Brand Henriksen 1, Jeppe Woemann Nielsen 2, Mogens Seffensen 1, and Chrisian Svensson 2 1 Deparmen of Mahemaical
More informationThe Impact of Surplus Distribution on the Risk Exposure of With Profit Life Insurance Policies Including Interest Rate Guarantees.
The Impac of Surplus Disribuion on he Risk Exposure of Wih Profi Life Insurance Policies Including Ineres Rae Guaranees Alexander Kling 1 Insiu für Finanz- und Akuarwissenschafen, Helmholzsraße 22, 89081
More informationcooking trajectory boiling water B (t) microwave 0 2 4 6 8 101214161820 time t (mins)
Alligaor egg wih calculus We have a large alligaor egg jus ou of he fridge (1 ) which we need o hea o 9. Now here are wo accepable mehods for heaing alligaor eggs, one is o immerse hem in boiling waer
More informationThe Impact of Surplus Distribution on the Risk Exposure of With Profit Life Insurance Policies Including Interest Rate Guarantees
1 The Impac of Surplus Disribuion on he Risk Exposure of Wih Profi Life Insurance Policies Including Ineres Rae Guaranees Alexander Kling Insiu für Finanz- und Akuarwissenschafen, Helmholzsraße 22, 89081
More informationLEASING VERSUSBUYING
LEASNG VERSUSBUYNG Conribued by James D. Blum and LeRoy D. Brooks Assisan Professors of Business Adminisraion Deparmen of Business Adminisraion Universiy of Delaware Newark, Delaware The auhors discuss
More informationBasic Life Insurance Mathematics. Ragnar Norberg
Basic Life Insurance Mahemaics Ragnar Norberg Version: Sepember 22 Conens 1 Inroducion 5 1.1 Banking versus insurance...................... 5 1.2 Moraliy............................... 7 1.3 Banking................................
More informationChapter 7. Response of First-Order RL and RC Circuits
Chaper 7. esponse of Firs-Order L and C Circuis 7.1. The Naural esponse of an L Circui 7.2. The Naural esponse of an C Circui 7.3. The ep esponse of L and C Circuis 7.4. A General oluion for ep and Naural
More informationA Two-Account Life Insurance Model for Scenario-Based Valuation Including Event Risk Jensen, Ninna Reitzel; Schomacker, Kristian Juul
universiy of copenhagen Universiy of Copenhagen A Two-Accoun Life Insurance Model for Scenario-Based Valuaion Including Even Risk Jensen, Ninna Reizel; Schomacker, Krisian Juul Published in: Risks DOI:
More informationDependent Interest and Transition Rates in Life Insurance
Dependen Ineres and ransiion Raes in Life Insurance Krisian Buchard Universiy of Copenhagen and PFA Pension January 28, 2013 Absrac In order o find marke consisen bes esimaes of life insurance liabiliies
More informationEquities: Positions and Portfolio Returns
Foundaions of Finance: Equiies: osiions and orfolio Reurns rof. Alex Shapiro Lecure oes 4b Equiies: osiions and orfolio Reurns I. Readings and Suggesed racice roblems II. Sock Transacions Involving Credi
More informationEstimating Time-Varying Equity Risk Premium The Japanese Stock Market 1980-2012
Norhfield Asia Research Seminar Hong Kong, November 19, 2013 Esimaing Time-Varying Equiy Risk Premium The Japanese Sock Marke 1980-2012 Ibboson Associaes Japan Presiden Kasunari Yamaguchi, PhD/CFA/CMA
More informationWHAT ARE OPTION CONTRACTS?
WHAT ARE OTION CONTRACTS? By rof. Ashok anekar An oion conrac is a derivaive which gives he righ o he holder of he conrac o do 'Somehing' bu wihou he obligaion o do ha 'Somehing'. The 'Somehing' can be
More informationAppendix D Flexibility Factor/Margin of Choice Desktop Research
Appendix D Flexibiliy Facor/Margin of Choice Deskop Research Cheshire Eas Council Cheshire Eas Employmen Land Review Conens D1 Flexibiliy Facor/Margin of Choice Deskop Research 2 Final Ocober 2012 \\GLOBAL.ARUP.COM\EUROPE\MANCHESTER\JOBS\200000\223489-00\4
More informationOptimal Investment and Consumption Decision of Family with Life Insurance
Opimal Invesmen and Consumpion Decision of Family wih Life Insurance Minsuk Kwak 1 2 Yong Hyun Shin 3 U Jin Choi 4 6h World Congress of he Bachelier Finance Sociey Torono, Canada June 25, 2010 1 Speaker
More informationOn the Management of Life Insurance Company Risk by Strategic Choice of Product Mix, Investment Strategy and Surplus Appropriation Schemes
On he Managemen of Life Insurance Company Risk by raegic Choice of Produc Mix, Invesmen raegy and urplus Appropriaion chemes Alexander Bohner, Nadine Gazer, Peer Løche Jørgensen Working Paper Deparmen
More informationWorking Paper No. 482. Net Intergenerational Transfers from an Increase in Social Security Benefits
Working Paper No. 482 Ne Inergeneraional Transfers from an Increase in Social Securiy Benefis By Li Gan Texas A&M and NBER Guan Gong Shanghai Universiy of Finance and Economics Michael Hurd RAND Corporaion
More informationThe Interaction of Guarantees, Surplus Distribution, and Asset Allocation in With Profit Life Insurance Policies
1 The Ineracion of Guaranees, Surplus Disribuion, and Asse Allocaion in Wih Profi Life Insurance Policies Alexander Kling * Insiu für Finanz- und Akuarwissenschafen, Helmholzsr. 22, 89081 Ulm, Germany
More informationRisk management and regulatory aspects of life insurance companies with a special focus on disability insurance
Risk managemen and regulaory aspecs of life insurance companies wih a special focus on disabiliy insurance Disseraion zur Erlangung des akademischen Grades eines Dokors der Wirschafswissenschafen (Dr.
More informationI. Basic Concepts (Ch. 1-4)
(Ch. 1-4) A. Real vs. Financial Asses (Ch 1.2) Real asses (buildings, machinery, ec.) appear on he asse side of he balance shee. Financial asses (bonds, socks) appear on boh sides of he balance shee. Creaing
More informationTHE FIRM'S INVESTMENT DECISION UNDER CERTAINTY: CAPITAL BUDGETING AND RANKING OF NEW INVESTMENT PROJECTS
VII. THE FIRM'S INVESTMENT DECISION UNDER CERTAINTY: CAPITAL BUDGETING AND RANKING OF NEW INVESTMENT PROJECTS The mos imporan decisions for a firm's managemen are is invesmen decisions. While i is surely
More informationPREMIUM INDEXING IN LIFELONG HEALTH INSURANCE
Far Eas Journal of Mahemaical Sciences (FJMS 203 Pushpa Publishing House, Allahabad, India Published Online: Sepember 203 Available online a hp://pphm.com/ournals/fms.hm Special Volume 203, Par IV, Pages
More informationRationales of Mortgage Insurance Premium Structures
JOURNAL OF REAL ESTATE RESEARCH Raionales of Morgage Insurance Premium Srucures Barry Dennis* Chionglong Kuo* Tyler T. Yang* Absrac. This sudy examines he raionales for he design of morgage insurance premium
More informationChapter 1.6 Financial Management
Chaper 1.6 Financial Managemen Par I: Objecive ype quesions and answers 1. Simple pay back period is equal o: a) Raio of Firs cos/ne yearly savings b) Raio of Annual gross cash flow/capial cos n c) = (1
More informationµ r of the ferrite amounts to 1000...4000. It should be noted that the magnetic length of the + δ
Page 9 Design of Inducors and High Frequency Transformers Inducors sore energy, ransformers ransfer energy. This is he prime difference. The magneic cores are significanly differen for inducors and high
More informationWhy Did the Demand for Cash Decrease Recently in Korea?
Why Did he Demand for Cash Decrease Recenly in Korea? Byoung Hark Yoo Bank of Korea 26. 5 Absrac We explores why cash demand have decreased recenly in Korea. The raio of cash o consumpion fell o 4.7% in
More informationTotal factor productivity growth in the Canadian life insurance industry: 1979-1989
Toal facor produciviy growh in he Canadian life insurance indusry: 1979-1989 J E F F R E Y I. B E R N S T E I N Carleon Universiy and Naional Bureau of Economic Research 1. Inroducion Produciviy growh
More informationModule 3 Design for Strength. Version 2 ME, IIT Kharagpur
Module 3 Design for Srengh Lesson 2 Sress Concenraion Insrucional Objecives A he end of his lesson, he sudens should be able o undersand Sress concenraion and he facors responsible. Deerminaion of sress
More informationPricing Guaranteed Minimum Withdrawal Benefits under Stochastic Interest Rates
Pricing Guaraneed Minimum Wihdrawal Benefis under Sochasic Ineres Raes Jingjiang Peng 1, Kwai Sun Leung 2 and Yue Kuen Kwok 3 Deparmen of Mahemaics, Hong Kong Universiy of Science and echnology, Clear
More informationExtract from. Études et Dossiers No. 302. World Risk and Insurance Economics Congress. Inaugural Conference
Inernaional Associaion for he Sudy of Insurance Economics Éudes e Dossiers Exrac from Éudes e Dossiers No. 32 World Risk and Insurance Economics Congress Inaugural Conference 7 11 Augus 25 Sal Lake Ciy,
More informationA Note on Using the Svensson procedure to estimate the risk free rate in corporate valuation
A Noe on Using he Svensson procedure o esimae he risk free rae in corporae valuaion By Sven Arnold, Alexander Lahmann and Bernhard Schwezler Ocober 2011 1. The risk free ineres rae in corporae valuaion
More informationAs your trusted banking partner, Hang Seng Bank is committed to helping your company achieve success with a full range of solutions for your business
As your rused banking parner, Hang Seng Bank is commied o helping your company achieve success wih a full range of soluions for your business needs and joinly provides qualiy and affordable group medical
More informationPermutations and Combinations
Permuaions and Combinaions Combinaorics Copyrigh Sandards 006, Tes - ANSWERS Barry Mabillard. 0 www.mah0s.com 1. Deermine he middle erm in he expansion of ( a b) To ge he k-value for he middle erm, divide
More informationDistributing Human Resources among Software Development Projects 1
Disribuing Human Resources among Sofware Developmen Proecs Macario Polo, María Dolores Maeos, Mario Piaini and rancisco Ruiz Summary This paper presens a mehod for esimaing he disribuion of human resources
More informationThe Interaction of Public and Private Insurance: Medicaid and the Long-Term Care Insurance Market
The Ineracion of Public and Privae Insurance: Medicaid and he Long-Term Care Insurance Marke Jeffrey R. Brown Universiy of Illinois and NBER Amy Finkelsein MIT and NBER Ocober 2006 Absrac: This paper shows
More informationDiagnostic Examination
Diagnosic Examinaion TOPIC XV: ENGINEERING ECONOMICS TIME LIMIT: 45 MINUTES 1. Approximaely how many years will i ake o double an invesmen a a 6% effecive annual rae? (A) 10 yr (B) 12 yr (C) 15 yr (D)
More informationA Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities *
A Universal Pricing Framework for Guaraneed Minimum Benefis in Variable Annuiies * Daniel Bauer Deparmen of Risk Managemen and Insurance, Georgia Sae Universiy 35 Broad Sree, Alana, GA 333, USA Phone:
More informationPerformance Center Overview. Performance Center Overview 1
Performance Cener Overview Performance Cener Overview 1 ODJFS Performance Cener ce Cener New Performance Cener Model Performance Cener Projec Meeings Performance Cener Execuive Meeings Performance Cener
More informationNotional Defined Contribution Pension Systems in a Stochastic Context: Design and Stability
Noional Defined Conribuion Pension Sysems in a Sochasic Conex: Design and Sabiliy Alan J. Auerbach Universiy of California, Berkeley and NBER and Ronald Lee Universiy of California, Berkeley and NBER December
More informationIMPLICIT OPTIONS IN LIFE INSURANCE CONTRACTS FROM OPTION PRICING TO THE PRICE OF THE OPTION. Tobias Dillmann * and Jochen Ruß **
IMPLICIT OPTIONS IN LIFE INSURANCE CONTRACTS FROM OPTION PRICING TO THE PRICE OF THE OPTION Tobias Dillmann * and Jochen Ruß ** ABSTRACT Insurance conracs ofen include so-called implici or embedded opions.
More informationCable & Wireless Jamaica s Price Cap Plan
Office of Uiliies Regulaion Cable & Wireless Jamaica s Price Cap Plan Deerminaion Noice 2001 Augus 1 Absrac Cable and Wireless Jamaica (C&WJ) has radiionally been regulaed under a rae of reurn regime.
More informationRisk Modelling of Collateralised Lending
Risk Modelling of Collaeralised Lending Dae: 4-11-2008 Number: 8/18 Inroducion This noe explains how i is possible o handle collaeralised lending wihin Risk Conroller. The approach draws on he faciliies
More informationForecasting, Ordering and Stock- Holding for Erratic Demand
ISF 2002 23 rd o 26 h June 2002 Forecasing, Ordering and Sock- Holding for Erraic Demand Andrew Eaves Lancaser Universiy / Andalus Soluions Limied Inroducion Erraic and slow-moving demand Demand classificaion
More informationChapter 2 Problems. 3600s = 25m / s d = s t = 25m / s 0.5s = 12.5m. Δx = x(4) x(0) =12m 0m =12m
Chaper 2 Problems 2.1 During a hard sneeze, your eyes migh shu for 0.5s. If you are driving a car a 90km/h during such a sneeze, how far does he car move during ha ime s = 90km 1000m h 1km 1h 3600s = 25m
More informationAnalyzing Surplus Appropriation Schemes in Participating Life Insurance from the Insurer s and the Policyholder s Perspective
Analyzing Surplus Appropriaion Schemes in Paricipaing Life Insurance from he Insurer s and he Policyholder s Perspecive Alexander Bohner, Nadine Gazer Working Paper Chair for Insurance Economics Friedrich-Alexander-Universiy
More informationOption Put-Call Parity Relations When the Underlying Security Pays Dividends
Inernaional Journal of Business and conomics, 26, Vol. 5, No. 3, 225-23 Opion Pu-all Pariy Relaions When he Underlying Securiy Pays Dividends Weiyu Guo Deparmen of Finance, Universiy of Nebraska Omaha,
More informationConceptually calculating what a 110 OTM call option should be worth if the present price of the stock is 100...
Normal (Gaussian) Disribuion Probabiliy De ensiy 0.5 0. 0.5 0. 0.05 0. 0.9 0.8 0.7 0.6? 0.5 0.4 0.3 0. 0. 0 3.6 5. 6.8 8.4 0.6 3. 4.8 6.4 8 The Black-Scholes Shl Ml Moel... pricing opions an calculaing
More informationTHE IMPACT OF THE SECONDARY MARKET ON LIFE INSURERS SURRENDER PROFITS
THE IPACT OF THE ECONDARY ARKET ON LIFE INURER URRENDER PROFIT Nadine Gazer, Gudrun Hoermann, Hao chmeiser Insiue of Insurance Economics, Universiy of. Gallen (wizerland), Email: nadine.gazer@unisg.ch,
More informationThe Experts In Actuarial Career Advancement. Product Preview. For More Information: email Support@ActexMadRiver.com or call 1(800) 282-2839
P U B L I C A T I O N S The Eers In Acuarial Career Advancemen Produc Preview For More Informaion: email Suor@AceMadRiver.com or call (8) 8-839 Preface P- Conens Preface P-7 Syllabus Reference P- Flow
More informationGUIDE GOVERNING SMI RISK CONTROL INDICES
GUIDE GOVERNING SMI RISK CONTROL IND ICES SIX Swiss Exchange Ld 04/2012 i C O N T E N T S 1. Index srucure... 1 1.1 Concep... 1 1.2 General principles... 1 1.3 Index Commission... 1 1.4 Review of index
More informationModule 4. Single-phase AC circuits. Version 2 EE IIT, Kharagpur
Module 4 Single-phase A circuis ersion EE T, Kharagpur esson 5 Soluion of urren in A Series and Parallel ircuis ersion EE T, Kharagpur n he las lesson, wo poins were described:. How o solve for he impedance,
More informationAgnes Joseph, Dirk de Jong and Antoon Pelsser. Policy Improvement via Inverse ALM. Discussion Paper 06/2010-085
Agnes Joseph, Dirk de Jong and Anoon Pelsser Policy Improvemen via Inverse ALM Discussion Paper 06/2010-085 Policy Improvemen via Inverse ALM AGNES JOSEPH 1 Universiy of Amserdam, Synrus Achmea Asse Managemen
More informationINTEREST RATE FUTURES AND THEIR OPTIONS: SOME PRICING APPROACHES
INTEREST RATE FUTURES AND THEIR OPTIONS: SOME PRICING APPROACHES OPENGAMMA QUANTITATIVE RESEARCH Absrac. Exchange-raded ineres rae fuures and heir opions are described. The fuure opions include hose paying
More informationMortality Variance of the Present Value (PV) of Future Annuity Payments
Morali Variance of he Presen Value (PV) of Fuure Annui Pamens Frank Y. Kang, Ph.D. Research Anals a Frank Russell Compan Absrac The variance of he presen value of fuure annui pamens plas an imporan role
More informationOptimal Consumption and Insurance: A Continuous-Time Markov Chain Approach
Opimal Consumpion and Insurance: A Coninuous-Time Markov Chain Approach Holger Kraf and Mogens Seffensen Absrac Personal financial decision making plays an imporan role in modern finance. Decision problems
More informationWorking paper No.3 Cyclically adjusting the public finances
Working paper No.3 Cyclically adjusing he public finances Thora Helgadoir, Graeme Chamberlin, Pavandeep Dhami, Sephen Farringon and Joe Robins June 2012 Crown copyrigh 2012 You may re-use his informaion
More informationImpact of scripless trading on business practices of Sub-brokers.
Impac of scripless rading on business pracices of Sub-brokers. For furher deails, please conac: Mr. T. Koshy Vice Presiden Naional Securiies Deposiory Ld. Tradeworld, 5 h Floor, Kamala Mills Compound,
More informationIMPLICIT LOADINGS IN LIFE INSURANCE RATEMAKING AND COHERENT RISK MEASURES
Anales del Insiuo de Acuarios Españoles, 3ª época, 9, 23/85- IMPLICIT LOADINGS IN LIFE INSURANCE RATEMAKING AND COHERENT RISK MEASURES Monserra Hernández Solís, Crisina Lozano Colomer 2 y José Luis Vilar
More informationThe Application of Multi Shifts and Break Windows in Employees Scheduling
The Applicaion of Muli Shifs and Brea Windows in Employees Scheduling Evy Herowai Indusrial Engineering Deparmen, Universiy of Surabaya, Indonesia Absrac. One mehod for increasing company s performance
More informationDeveloping Equity Release Markets: Risk Analysis for Reverse Mortgages and Home Reversions
Developing Equiy Release Markes: Risk Analysis for Reverse Morgages and Home Reversions Prepared by Daniel Alai, Hua Chen, Daniel Cho, Kaja Hanewald, and Michael Sherris Presened o he Acuaries Insiue Acuaries
More informationTHE DETERMINATION OF PORT FACILITIES MANAGEMENT FEE WITH GUARANTEED VOLUME USING OPTIONS PRICING MODEL
54 Journal of Marine Science and echnology, Vol. 13, No. 1, pp. 54-60 (2005) HE DEERMINAION OF POR FACILIIES MANAGEMEN FEE WIH GUARANEED VOLUME USING OPIONS PRICING MODEL Kee-Kuo Chen Key words: build-and-lease
More informationDebt Accumulation, Debt Reduction, and Debt Spillovers in Canada, 1974-98*
Deb Accumulaion, Deb Reducion, and Deb Spillovers in Canada, 1974-98* Ron Kneebone Deparmen of Economics Universiy of Calgary John Leach Deparmen of Economics McMaser Universiy Ocober, 2000 Absrac Wha
More informationLIFE INSURANCE MATHEMATICS 2002
LIFE INSURANCE MATHEMATICS 22 Ragnar Norberg London School of Economics Absrac Since he pioneering days of Black, Meron and Scholes financial mahemaics has developed rapidly ino a flourishing area of science.
More information