文章基本信息

标题：Modeling the Future Value Distribution of a Life Insurance Portfolio
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作者：Massimo Costabile ; Massimo Costabile ; Massimo Costabile 等
期刊名称：Risks
印刷版ISSN：2227-9091
出版年度：2021
卷号：9
期号：1
页码：177
DOI：10.3390/risks9100177
语种：English
出版社：MDPI, Open Access Journal
摘要：This paper addresses the problem of approximating the future value distribution of a large and heterogeneous life insurance portfolio which would play a relevant role, for instance, for solvency capital requirement valuations. Based on a metamodel, we first select a subset of <i>representative policies</i> in the portfolio. Then, by using Monte Carlo simulations, we obtain a rough estimate of the policies’ values at the chosen future date and finally we approximate the distribution of a single policy and of the entire portfolio by means of two different approaches, the ordinary least-squares method and a regression method based on the class of generalized beta distribution of the second kind. Extensive numerical experiments are provided to assess the performance of the proposed models.