Hostname: page-component-7479d7b7d-68ccn Total loading time: 0 Render date: 2024-07-13T22:31:38.520Z Has data issue: false hasContentIssue false
  • English
  • Français

Simulating the Relative Solvency of Life Insurers

Published online by Cambridge University Press:  10 June 2011

M.R. Hardy
M.R. Hardy
Affiliation:
University of Waterloo, Department of Statistics and Actuarial Science, Waterloo, Ontario N2L 3G1, Canada. Tel: +1 519 885 1211; Fax: +1 519 746 1875; E-mail: mrhardy@uwaterloo.ca
Get access Rights & Permissions [Opens in a new window]

Abstract

In this paper a stochastic model office offering UK-style life insurance contracts is used to demonstrate the effect on relative solvency of different investment and bonus strategies. Relative solvency is defined loosely as the probability that an individual insurer does not fall significantly out of line with the rest of the life insurance market, in terms of, for example, asset liability ratios, or payouts to with-profit policyholders. The model uses the Wilkie investment model, extended to incorporate variation between companies in equity performance.

Keywords

SolvencyStochastic SimulationWilkie Model
Type
Sessional meetings: papers and abstracts of discussions
Information
British Actuarial Journal , Volume 2 , Issue 4 , 01 October 1996 , pp. 1003 - 1019
Copyright
Copyright © Institute and Faculty of Actuaries 1996

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

REFERENCES

Brender, A. (1991). The evolution of solvency standards for life insurance companies in Canada. Presented to the Institute of Actuaries of Australia.Google Scholar
Cox, D. R. (1970). Analysis of binary data. Chapman and Hall, London.Google Scholar
Hardy, M.R. (1993). Stochastic simulation in life office solvency assessment. J.I.A. 120, 131–151.Google Scholar
Hardy, M.R. (1994). Incorporating individual life company variation in simulated equity returns. Transactions of the 4th AFIR Colloquium, Orlando, 3, 1147–1162.Google Scholar
Faculty of Actuaries Solvency Working Party (FASWP) (1986). A solvency standard for life assurance. T.F.A. 39, 251–340.Google Scholar
Macdonald, A.S. (1990). What is the value of a valuation? Transactions of the 2nd AFIR Colloquium, 3, 413–427.Google Scholar
Pentikäinen, T. & Pesonen, M. (1988). Stochastic dynamic analysis of life insurance. Transactions of the 23rd International Congress of Actuaries, 1, 421.Google Scholar
Ross, M. D. (1989). Modelling a with-profits life office. J.I.A. 116, 691–715.Google Scholar
Wilkie, A. D. (1986). A stochastic investment model for actuarial use. T.F.A. 39, 341–403.Google Scholar
Wilkie, A. D. (1995). More on a stochastic asset model for actuarial use. B.A.J. 1, 777–964.Google Scholar