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IAALS Webinar: Computation of Bonus in Multi-State Life Insurance

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Computation of Bonus in Multi-State Life Insurance





We consider computation of market values of bonus payments in multi-state with-profit life insurance. The bonus scheme consists of additional benefits bought according to a dividend strategy that depends on the past realization of financial risk, the current individual insurance risk, the number of additional benefits currently held, and so-called portfolio-wide means describing the shape of the insurance business. We formulate numerical procedures that efficiently combine simulation of financial risk with classic methods for the outstanding insurance risk. Special attention is given to the case where the number of additional benefits bought only depends on the financial risk. Methods and results are illustrated via a numerical example.


Jamaal is a Ph.D. student in Actuarial Mathematics at the Department of Mathematical Sciences, University of Copenhagen. His main research areas lie within modeling, estimation and market-consistent valuation in life insurance and pensions in multi-state frameworks, with a focus on the interplay between methods from applied probability and classic actuarial mathematics. He holds an MSc degree in Actuarial Mathematics, also from the University of Copenhagen, Denmark. During his studies, he held several positions as an actuarial student in the Danish insurance industry, including a position in actuarial innovation and models at PFA Pension, the largest commercial life insurance and pension company in Denmark.


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