Market-Consistent Actuarial Valuation by Mario V. Wüthrich

Author:Mario V. Wüthrich
Language: eng
Format: epub
Publisher: Springer International Publishing, Cham

(3.84)

The reserves after premium payments at time t are given by

(3.85)

This gives the run-off behaviour (savings process) given in Table 3.4. Note that the death benefits have a minimal interest rate guarantee of , whereas the survival benefit (by assumption) does not have a minimal guarantee. What we derive from Table 3.4 is that the performance of the index was below 2 %, in fact, it was negative with . Therefore, the reserves and survivals would also have benefited if they would have bought a minimal guarantee (at least if the last return is not excessive). This can also be seen from Table 3.3 because the put option is in the money for later periods t.Table 3.4Development of the savings process

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