Life Insurance in Europe by Unknown

Author:Unknown
Language: eng
Format: epub
ISBN: 9783030496555
Publisher: Springer International Publishing

(8.13)

where Vt is the individual policy reserve, or technical provision, at time t. We assume that regulation requires that technical provisions are assessed adopting the latest best-estimate assumption, and including a proportional risk margin, in the proportion defined by the premium loading π. Thus, we assume that the individual policy reserve at time t is defined as follows:

(8.14)

In particular, V0 = b0 · ax(0) · (1 + π) = S.

Note that profit is assessed according to an entity-specific logic; this is why when considering in (8.13) the longevity experience of year (t − 1, t), we address the specific experience of the portfolio (namely, ). We also note that there are other quantities that contribute to the annual profit, such as expenses and reinsurance, which we are not going to include in our investigation. Reinsurance, in particular, is outside the scope of this research.

It is useful to develop the expression of the annual profit, so to bring out its components. For the individual policy reserve at time t − 1, we have:

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