Safety margins for unsystematic biometric risk in life and health insurance. (English) Zbl 1291.91100
There are various methods how to choose the implicit safety margins for unsystematic biometric risk in life and health insurance (usually by adding margins on the valuation basis). After discussing the bottom-up and top-down approach, a new approach is suggested. The author calculates asymptotic probability distributions for premiums and reserves of second order by means of the functional delta method. This brings new insight into the sources of unsystematic biometric risk (e.g., one can linearly decompose the total randomness of a portfolio to contributions of different transition rates at different ages to the total uncertainty). Some numerical examples are also given.
Reviewer: Tomáš Cipra (Praha)
MSC:
| 91B30 | Risk theory, insurance (MSC2010) |
| 91G10 | Portfolio theory |
Keywords:
implicit risk loading; valuation basis of first order; functional delta method; top-down approach; Hattendorf’s theoremReferences:
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