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arXiv · 2101.06077

Estimation of future discretionary benefits in traditional life insurance

Florian Gach·Simon Hochgerner
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Abstract

In the context of life insurance with profit participation, the future discretionary benefits ($FDB$), which are a central item for Solvency~II reporting, are generally calculated by computationally expensive Monte Carlo algorithms. We derive analytic formulas to estimate lower and upper bounds for the $FDB$. This yields an estimation interval for the $FDB$, and the average of lower and upper bound is a simple estimator. These formulae are designed for real world applications, and we compare the results to publicly available reporting data.

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Florian Gach, Simon Hochgerner. 2022-07-12. Estimation of future discretionary benefits in traditional life insurance. https://doi.org/10.1017/asb.2022.16

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