The concept of 'safe-side' requirement concerns the first-order basis (used to calculate premiums) and is expressed in terms of some quantities involving a given second-order basis (which is judged realistic) as well as the first-order basis itself. In conventional life insurance mathematics, the safe-side requirement is usually expressed in terms of the components of the annual expected profit (i.e. via the formula of Homans); in the multistate context, a definition based on the reserves has been suggested by Hoem (Transactions of the 23rd International Congress of Actuaries, Helsinki, Vol. R. 1988; 171-202). This paper deals with safe-side requirements for the insurances of the person in the framework of Markov multistate models. We formulate some safe-side requirements, each one involving expected profits and we show the relations among them and with the requirement proposed by Hoem (1988) as well
Safe-side requirements in the framework of multistate models for the insurances of the person / Olivieri, Annamaria. - In: APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY. - ISSN 1526-4025. - 15:4(1999), pp. 393-408. [10.1002/(SICI)1526-4025(199910/12)15:4<393::AID-ASMB403>3.0.CO;2-E]
Safe-side requirements in the framework of multistate models for the insurances of the person
Olivieri Annamaria
Membro del Collaboration Group
1999-01-01
Abstract
The concept of 'safe-side' requirement concerns the first-order basis (used to calculate premiums) and is expressed in terms of some quantities involving a given second-order basis (which is judged realistic) as well as the first-order basis itself. In conventional life insurance mathematics, the safe-side requirement is usually expressed in terms of the components of the annual expected profit (i.e. via the formula of Homans); in the multistate context, a definition based on the reserves has been suggested by Hoem (Transactions of the 23rd International Congress of Actuaries, Helsinki, Vol. R. 1988; 171-202). This paper deals with safe-side requirements for the insurances of the person in the framework of Markov multistate models. We formulate some safe-side requirements, each one involving expected profits and we show the relations among them and with the requirement proposed by Hoem (1988) as wellI documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
