Description: It is obvious that the introduction of a deductible has two major effects. The amount paid for every claim will drop, resulting in a lower claim burden for the insurance company. There will also be a drop in claim frequency, leading to a decrease in claim handling expenses. However, it is by no means obvious how the average claim size changes with the introduction of a deductible. In this paper, we will study this question. First, we derive some theoretical results then apply them to concrete distributions.

Description: Economic capital models are getting increasingly complex. An alternate copula free approach is presented which uses accounting data and an implicit correlation model to simplify economic capital calculations. Model simplification leads to robust and stable models. A banking case study is used to showcase how the model can be deployed using publicly available accounting data, capital adequacy, leverage ratios and shortfall tools.

Description: Economic capital models are getting increasingly complex. An alternate copula free approach is presented which uses accounting data and an implicit correlation model to simplify economic capital calculations. Model simplification leads to robust and stable models. A banking case study is used to showcase how the model can be deployed using publicly available accounting data, capital adequacy, leverage ratios and shortfall tools.

Description: We employ a framework for the classification of mortality evolution patterns to HMD data. We find both supra-regional patterns and outliers from global trends.

Description: The article provides a complete and rigorous analysis based on calculus for the topics in the theory of compound interest: the monotone convergence properties of the rates of interest and discount payable m times per interest conversion period in relation to the force of interest, the monotone convergence properties of the present value and accumulated value of an ordinary annuity with m payments per interest conversion period in relation to those of a continuously paying ordinary annuity and a method for approximating the present value of an ordinary annuity, or an increasing annuity with m payments per interest conversion period, by accumulating, at compound interest for the fraction m - l/2m of an interest conversion period, the present value of the same type of annuity with one payment per interest conversion period.

Description: In addition to death and maturity guarantees on the mutual funds they sell, some insurance companies make it possible for the investor to extend the guarantees for a fixed number of years. In this paper, we consider the case when that option is of the European type that is, the investor, at maturity, can either close out the contract or extend it for the stated, fixed term. When extended, the guarantee is on the value of the fund at the original maturity date. The fund is assumed to be fully invested in common stock.

Description: We employ a framework for the classification of mortality evolution patterns to HMD data. We find both supra-regional patterns and outliers from global trends.

Description: Group life insurance often represents an important component of the typical employee benefit package. The purpose of the present paper is to explore some aspects of different benefit schedules. In this paper, a method is suggested for analysing group life insurance benefit schedules with respect to certain criteria. The procedure is illustrated by means of simple numerical examples.

Description: This paper demonstrates the calculation of the moments of the distribution of aggregate life insurance claims from seriatim inforce data, assuming that each record represents an independent Bernoulli trial with its own known probability of a claim, q. Continuous distributions matching the first three or four moments are identified.

Description: The purpose of this note is to show how certain formulas of life contingencies can be derived almost painlessly under the uniform distribution of deaths assumption.