A Model for Risk Adjustment (IFRS 17) for Surrender Risk in Life Insurance

被引：0

作者：

Carlehed, Magnus ^{[1
]}

机构：

[1] Stockholm Univ, Dept Math, S-10691 Stockholm, Sweden

来源：

RISKS | 2023年 / 11卷 / 03期

关键词：

risk adjustment; IFRS; 17; surrender risk; ultimo risk measure; convex ordering; BOUNDS; LAPSE; SUMS;

D O I：

10.3390/risks11030062

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We propose a model for risk adjustment, in the context of IFRS 17, for surrender risk. Surrender rates are assumed to follow a stochastic process, underpinned by data. The distribution of the present value of future individual cash flows is calculated. Using well-known techniques from the theory of convex ordering of stochastic variables, we present closed formula approximations of risk measures, such as quantiles, for the total portfolio. These formulas are easy to program and enable an insurance company to calculate its risk adjustment without time-consuming simulations.

引用

页数：22

共 50 条

[41] Risk adjustment and risk-adjusted provider profiles
Shwartz, Michael
Ash, Arlene
Pekoez, Erol
INTERNATIONAL JOURNAL OF HEALTHCARE TECHNOLOGY AND MANAGEMENT, 2006, 7 (1-2) : 15 - 42
[42] Innovations in Risk Management IFRS 9 Hedge Accounting
Ringsdorf, Bastian
Kajanova, Jana
VISION 2020: SUSTAINABLE ECONOMIC DEVELOPMENT AND APPLICATION OF INNOVATION MANAGEMENT, 2018, : 3921 - 3927
[43] EXOGENOUS AND ENDOGENOUS RISK FACTORS MANAGEMENT TO PREDICT SURRENDER BEHAVIOURS
Milhaud, Xavier
ASTIN BULLETIN-THE JOURNAL OF THE INTERNATIONAL ACTUARIAL ASSOCIATION, 2013, 43 (03) : 373 - 398
[44] A model proposal for IFRS 16 IBR adjustment based on bond market pricing
Delgado-Vaquero, David
Morales-Diaz, Jose
Zamora-Ramirez, Constancio
ECONOMIC RESEARCH-EKONOMSKA ISTRAZIVANJA, 2022, : 2859 - 2892
[45] Risk adjustment with an outside option
Newhouse, Joseph P.
JOURNAL OF HEALTH ECONOMICS, 2017, 56 : 256 - 258
[46] Risk adjustment and momentum sources
Wang, Jun
Wu, Yangru
JOURNAL OF BANKING & FINANCE, 2011, 35 (06) : 1427 - 1435
[47] Risk adjustment in aging societies
von Wyl V.
Beck K.
Health Economics Review, 4 (1) : 1 - 14
[48] Analyzing factors affecting risk aversion: Case of life insurance data in Korea
Lim, Sehyun
Oh, Taeyeon
Ngayo, Guy
HELIYON, 2023, 9 (10)
[49] Risk adjustment using automated ambulatory pharmacy data - The RxRisk model
Fishman, PA
Goodman, MJ
Hornbrook, MC
Meenan, RT
Bachman, DJ
Rosetti, MCO
MEDICAL CARE, 2003, 41 (01) : 84 - 99
[50] Risk adjustment an risk selection in Europe: 6 years ater
van de Ven, Wynand P. M. M.
Beck, Konstantin
van de Voordec, Carine
Wasem, Juergen
Zmora, Irit
HEALTH POLICY, 2007, 83 (2-3) : 162 - 179

← 1 2 3 4 5 →