Computational formula for the impact of stochastic dependence on the insurance premium

PROCEEDINGS OF THE INTERNATIONAL CONFERENCE OF COMPUTATIONAL METHODS IN SCIENCES AND ENGINEERING 2019 (ICCMSE-2019) Pub Date : 2019-12-10 DOI:10.1063/1.5138087

J. Cha, Hyunju Lee, M. Finkelstein

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Abstract

Standard actuarial theory of multiple life insurance traditionally postulates independence for the remaining lifetimes mainly due to computational convenience rather than realism. In this paper, we propose a general common shock model for modelling dependent coupled lives and apply it to a life insurance model. Under the model, we derive the computational formula for the impact of stochastic dependence on the pricings of insurance policies involving multiple lives which are subject to common shocks.Standard actuarial theory of multiple life insurance traditionally postulates independence for the remaining lifetimes mainly due to computational convenience rather than realism. In this paper, we propose a general common shock model for modelling dependent coupled lives and apply it to a life insurance model. Under the model, we derive the computational formula for the impact of stochastic dependence on the pricings of insurance policies involving multiple lives which are subject to common shocks.

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随机依赖对保费影响的计算公式

多重人寿保险的标准精算理论传统上假定剩余生命期的独立性，主要是由于计算方便而不是现实。在本文中，我们提出了一个通用的冲击模型来模拟依赖耦合生命，并将其应用于人寿保险模型。在此模型下，我们导出了随机依赖对多重生命保险定价影响的计算公式。多重人寿保险的标准精算理论传统上假定剩余生命期的独立性，主要是由于计算方便而不是现实。在本文中，我们提出了一个通用的冲击模型来模拟依赖耦合生命，并将其应用于人寿保险模型。在此模型下，我们导出了随机依赖对多重生命保险定价影响的计算公式。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

PROCEEDINGS OF THE INTERNATIONAL CONFERENCE OF COMPUTATIONAL METHODS IN SCIENCES AND ENGINEERING 2019 (ICCMSE-2019)

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