Statutory financial reporting for variable annuity guaranteed death benefits: Market practice, mathematical modeling and computation
作者: Runhuan FengHuaxiong Huang
作者单位: 1Department of Mathematics, University of Illinois at Urbana–Champaign, United States
2Department of Mathematics & Statistics, York University, Canada
刊名: Insurance Mathematics and Economics, 2016, Vol.67 , pp.54-64
来源数据库: Elsevier Journal
DOI: 10.1016/j.insmatheco.2015.12.001
关键词: Guaranteed minimum death benefitRisk measuresStatutory financial reportingIndividual modelAggregate modelNumerical PDE methodsRunning supremum
原始语种摘要: Abstract(#br)As more regulatory reporting requirements for equity-linked insurance move towards dependence on stochastic approaches, insurance companies are experiencing increasing difficulty with detailed forecasting and more accurate risk assessment based on Monte Carlo simulations. While there is vast literature on pricing and valuations of various equity-linked insurance products, very few have focused on the challenges of financial reporting for regulatory requirement and internal risk management. Most insurers use either simulation-based spreadsheet calculations or employ third-party vendor software packages. We intend to use a basic variable annuity death benefit as a model example to decipher the common mathematical structure of US statutory financial reporting. We shall...
全文获取路径: Elsevier  (合作)
影响因子:1.095 (2012)

  • guaranteed 有保证的
  • annuity 年金
  • variable 变量
  • reporting 申报
  • financial 财政的
  • practice 实践
  • benefits 津贴费
  • modeling 制祝型
  • mathematical 数学的
  • computation 计算