By Topic

Pricing Participating Policies Using Optimization Techniques

Sign In

Cookies must be enabled to login.After enabling cookies , please use refresh or reload or ctrl+f5 on the browser for the login options.

Formats Non-Member Member
$31 $13
Learn how you can qualify for the best price for this item!
Become an IEEE Member or Subscribe to
IEEE Xplore for exclusive pricing!
close button

puzzle piece

IEEE membership options for an individual and IEEE Xplore subscriptions for an organization offer the most affordable access to essential journal articles, conference papers, standards, eBooks, and eLearning courses.

Learn more about:

IEEE membership

IEEE Xplore subscriptions

2 Author(s)
Aguilar, P.R.C. ; Dept. Manage. of Inf. Sci., Chiba Inst. of Technol., Chiba ; Chunhui Xu

This paper considers the pricing of a life insurance participating policy based on the approach of maximization of the profit of the insurance company. In this type of policies a minimum interest is credited to the policyholder at regular intervals and according to the performance of a particular investment portfolio during the year, an additional interest is credited. Furthermore, the policyholder is given the right to sell back the contract to the insurance company before maturity and receive a surrender value. First we derive a formula to calculate the expected payments of the policy using the notion of fair valuation and the approach proposed by Bacinello (2001). Then, we formalize our optimization model intended to decide the premium, the minimum guarantee and participation rate. Finally, we carry out computational experiments applying the soft approach for hard optimization models put forward by Xu (2006).

Published in:

Innovative Computing Information and Control, 2008. ICICIC '08. 3rd International Conference on

Date of Conference:

18-20 June 2008