DEAMS Research Paper Series 2021, 3

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Massimo Costabile, Fabio Viviano

Modelling the Future Value Distribution of a Life Insurance Portfolio

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    Modelling the Future Value Distribution of a Life Insurance Portfolio
    (EUT Edizioni Università di Trieste, 2021)
    COSTABILE, MASSIMO
    ;
    VIVIANO, FABIO
    This paper addresses the problem of approximating the future value distribution of a large and heterogeneous life insurance portfolio which would play a relevant role, for instance, for solvency capital requirement valuations. Based on a metamodel, we first select a subset of representative policies in the portfolio. Then, by Monte Carlo simulations we obtain a rough estimate of the policies’ value at the chosen future date and finally we approximate the distribution of a single policy and of the entire portfolio by means of two different approaches, the ordinary least squares, and a regression method based on the class of generalized beta of the second kind distributions. Extensive numerical experiments are provided to assess the performance of the proposed models.
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