The paper investigates the financial dynamics of the sur- plus evolution in the case of deferred life schemes, in order to evaluate both the distributable earnings and the expected worst occurence for the portfolio surplus. The evaluation is based on a compact formulation of the insurance surplus defined as difference between accrued assets and present value of relevant liabilities. The dynamic analysis is performed by means of Monte Carlo simulations in order to provide a year-by-year valuation. The analysis is applied to an exemplar deferred life scheme considering that the selected contract constitutes the basis for many life insurance policies and pension plans. The evaluation is put into an asset and liability management decision making context, where the relation- ship between profits and risks are compared in order to evaluate the main features of the whole portfolio.
A financial analysis of surplus dynamics for deferred life schemes
SIBILLO, Marilena;
2008-01-01
Abstract
The paper investigates the financial dynamics of the sur- plus evolution in the case of deferred life schemes, in order to evaluate both the distributable earnings and the expected worst occurence for the portfolio surplus. The evaluation is based on a compact formulation of the insurance surplus defined as difference between accrued assets and present value of relevant liabilities. The dynamic analysis is performed by means of Monte Carlo simulations in order to provide a year-by-year valuation. The analysis is applied to an exemplar deferred life scheme considering that the selected contract constitutes the basis for many life insurance policies and pension plans. The evaluation is put into an asset and liability management decision making context, where the relation- ship between profits and risks are compared in order to evaluate the main features of the whole portfolio.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
