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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
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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

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References

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