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  5. DEAMS Research Paper Series 2021, 3
  6. Modelling the Future Value Distribution of a Life Insurance Portfolio
 
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Modelling the Future Value Distribution of a Life Insurance Portfolio

COSTABILE, MASSIMO
•
VIVIANO, FABIO
2021
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http://hdl.handle.net/10077/32220
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Abstract
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.
Series
DEAMS Research Paper Series, 2021, 3
Subjects
  • GB2

  • LSMC

  • Meta-model

  • Regression models

  • Solvency II

Publisher
EUT Edizioni Università di Trieste
Source
Massimo Costabile, Fabio Viviano, "Modelling the Future Value Distribution of a Life Insurance Portfolio", EUT Edizioni Università di Trieste, 2021
Languages
en
Rights
Attribution-NonCommercial-NoDerivatives 4.0 Internazionale
Licence
http://creativecommons.org/licenses/by-nc-nd/4.0/
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