Abstract
This chapter performs an extended empirical analysis of a large set of existing in-force insurance policies using the entire modelling approach as presented in the previous chapter. The structure of this analysis is supposed to be as follows: First of all, I will carry out the so called basic simulation run assuming consequently realistic or, to my mind, the most appropriate parameter specifications. By doing this we will get a first impression of the market consistent values of the interest rate guarantee, the dividend and the shareholder option. These values will be considered under three sets of different surplus parameters α, the distribution ratio, and β, the target buffer ratio.
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Notes
- 1.
Confer Table 4.1 for detailed information on the policy data.
- 2.
The raw data are not publicly available.
- 3.
Confer page 95 for the definition of the NET_CF.
- 4.
See the calculations at the end of a period, after bonus calculations (ab) on page 95 for the respective formulae.
- 5.
- 6.
- 7.
Confer Sect. 3.3.1.
- 8.
Confer Fig. A.4 in Sect. A.2 of the Appendix for a comparison of the swap rates.
- 9.
By statutory valuation I mean the traditional approach the disclosed policy reserves and the surplus reserves, which are used as the initial value of the asset portfolio A 0, are calculated.
- 10.
Confer the calibration data in Sect. A.2 of the Appendix.
- 11.
Confer the description of SST, Solvency II and MCEV presented in Chap. 1.
- 12.
- 13.
See http://www.finma.ch/e/pages/default.aspx. Last checked: 1 June 2011.
- 14.
Confer the modelling algorithm on page 95 to see the definition of the ratios.
- 15.
See the summary of the cited paper presented in the literature survey in Sect. 2.2.
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Rüfenacht, N. (2012). An Empirical Analysis Using the Entire Modelling Approach. In: Implicit Embedded Options in Life Insurance Contracts. Contributions to Management Science. Physica, Heidelberg. https://doi.org/10.1007/978-3-7908-2843-6_5
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