2023/10/25 by Oytun Haçarız, Haçarız, Oytun, Torsten Kleinow +3 · 1 citation
Economics, Econometrics and Finance · Social Sciences · #FOS: Economics and business #Insurance and Financial Risk Management #Insurance, Mortality, Demography, Risk Management #Risk Management (q-fin.RM)
paper · pdf · doi:10.48550/arxiv.2310.16927
openalex publication_date 2023/10/25 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
We revisit surplus on general life insurance contracts, represented by Markov models. We classify technical bases in terms of boundary conditions in Thiele's equation(s), allowing more general regulations than Scandinavian-style `first-order/second-order' regimes, and replacing the traditional retrospective policy value. We propose a `canonical' model with three technical bases (premium, valuation, accumulation) and show how each pair of bases defines premium loadings and surplus. Along with a `true' or `real-world' experience basis, this expands fundamental results of Ramlau-Hansen (1988a). We conclude with two applications: lapse-supported business; and the retrospectively-oriented regime proposed by Møller & Steffensen (2007).