人寿保险中依赖储备的管理行为

IF 16.4 1区化学 Q1 CHEMISTRY, MULTIDISCIPLINARY

Accounts of Chemical Research Pub Date : 2022-04-25 DOI:10.1080/03461238.2022.2061868

D. Falden, Anna Kamille Nyegaard

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引用次数: 0

摘要

在含红利的有利润寿险模型中，研究了市场准备金的计算，其中投资策略和红利分配策略等管理行为取决于准备金本身。由于未来奖金的数额取决于追溯性储蓄账户，因此引入依赖于预期市场准备金的管理措施导致了追溯性准备金和预期准备金的纠缠。我们研究了由于回顾储量和预期储量之间的相互依赖而产生的复杂性，并利用偏微分方程(PDE)来表征市场储量。在线性的情况下，我们降低了PDE的维度，此外，我们建议基于远期利率近似市场储备。通过数值算例研究了近似的质量。

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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Reserve-dependent Management Actions in life insurance

In a set-up of with-profit life insurance including bonus, we study the calculation of the market reserve, where Management Actions such as investment strategies and bonus allocation strategies depend on the reserve itself. Since the amount of future bonus depends on the retrospective savings account, the introduction of Management Actions that depend on the prospective market reserve results in an entanglement of retrospective and prospective reserves. We study the complications that arise due to the interdependence between retrospective and prospective reserves, and characterize the market reserve by a partial differential equation (PDE). We reduce the dimension of the PDE in the case of linearity, and furthermore, we suggest an approximation of the market reserve based on the forward rate. The quality of the approximation is studied in a numerical example.

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来源期刊

Accounts of Chemical Research 化学-化学综合

CiteScore

31.40

自引率

1.10%

发文量

312

审稿时长

2 months

期刊介绍： Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance. Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.