Computational formula for the impact of stochastic dependence on the insurance premium

Ji Hwan Cha; Hyunju Lee; Maxim Finkelstein

doi:10.1063/1.5138087

Computational formula for the impact of stochastic dependence on the insurance premium

Ji Hwan Cha, Hyunju Lee, Maxim Finkelstein

Department of Statistics

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

Abstract

Standard actuarial theory of multiple life insurance traditionally postulates independence for the remaining lifetimes mainly due to computational convenience rather than realism. In this paper, we propose a general common shock model for modelling dependent coupled lives and apply it to a life insurance model. Under the model, we derive the computational formula for the impact of stochastic dependence on the pricings of insurance policies involving multiple lives which are subject to common shocks.

Original language	English
Title of host publication	Proceedings of the International Conference of Computational Methods in Sciences and Engineering 2019, ICCMSE 2019
Editors	Theodore E. Simos, Theodore E. Simos, Theodore E. Simos, Zacharoula Kalogiratou, Theodore Monovasilis
Publisher	American Institute of Physics Inc.
ISBN (Electronic)	9780735419339
DOIs	https://doi.org/10.1063/1.5138087
State	Published - 10 Dec 2019
Event	International Conference of Computational Methods in Sciences and Engineering 2019, ICCMSE 2019 - Rhodes, Greece Duration: 1 May 2019 → 5 May 2019

Publication series

Name	AIP Conference Proceedings
Volume	2186
ISSN (Print)	0094-243X
ISSN (Electronic)	1551-7616

Conference

Conference	International Conference of Computational Methods in Sciences and Engineering 2019, ICCMSE 2019
Country/Territory	Greece
City	Rhodes
Period	1/05/19 → 5/05/19

Bibliographical note

Publisher Copyright:
© 2019 Author(s).

Access to Document

10.1063/1.5138087

Cite this

Cha, J. H., Lee, H., & Finkelstein, M. (2019). Computational formula for the impact of stochastic dependence on the insurance premium. In T. E. Simos, T. E. Simos, T. E. Simos, Z. Kalogiratou, & T. Monovasilis (Eds.), Proceedings of the International Conference of Computational Methods in Sciences and Engineering 2019, ICCMSE 2019 Article 170008 (AIP Conference Proceedings; Vol. 2186). American Institute of Physics Inc.. https://doi.org/10.1063/1.5138087

Cha, Ji Hwan ; Lee, Hyunju ; Finkelstein, Maxim. / Computational formula for the impact of stochastic dependence on the insurance premium. Proceedings of the International Conference of Computational Methods in Sciences and Engineering 2019, ICCMSE 2019. editor / Theodore E. Simos ; Theodore E. Simos ; Theodore E. Simos ; Zacharoula Kalogiratou ; Theodore Monovasilis. American Institute of Physics Inc., 2019. (AIP Conference Proceedings).

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title = "Computational formula for the impact of stochastic dependence on the insurance premium",

abstract = "Standard actuarial theory of multiple life insurance traditionally postulates independence for the remaining lifetimes mainly due to computational convenience rather than realism. In this paper, we propose a general common shock model for modelling dependent coupled lives and apply it to a life insurance model. Under the model, we derive the computational formula for the impact of stochastic dependence on the pricings of insurance policies involving multiple lives which are subject to common shocks.",

author = "Cha, {Ji Hwan} and Hyunju Lee and Maxim Finkelstein",

note = "Publisher Copyright: {\textcopyright} 2019 Author(s).; International Conference of Computational Methods in Sciences and Engineering 2019, ICCMSE 2019 ; Conference date: 01-05-2019 Through 05-05-2019",

year = "2019",

month = dec,

day = "10",

doi = "10.1063/1.5138087",

language = "English",

series = "AIP Conference Proceedings",

publisher = "American Institute of Physics Inc.",

editor = "Simos, {Theodore E.} and Simos, {Theodore E.} and Simos, {Theodore E.} and Zacharoula Kalogiratou and Theodore Monovasilis",

booktitle = "Proceedings of the International Conference of Computational Methods in Sciences and Engineering 2019, ICCMSE 2019",

}

Cha, JH, Lee, H & Finkelstein, M 2019, Computational formula for the impact of stochastic dependence on the insurance premium. in TE Simos, TE Simos, TE Simos, Z Kalogiratou & T Monovasilis (eds), Proceedings of the International Conference of Computational Methods in Sciences and Engineering 2019, ICCMSE 2019., 170008, AIP Conference Proceedings, vol. 2186, American Institute of Physics Inc., International Conference of Computational Methods in Sciences and Engineering 2019, ICCMSE 2019, Rhodes, Greece, 1/05/19. https://doi.org/10.1063/1.5138087

Computational formula for the impact of stochastic dependence on the insurance premium. / Cha, Ji Hwan; Lee, Hyunju; Finkelstein, Maxim.
Proceedings of the International Conference of Computational Methods in Sciences and Engineering 2019, ICCMSE 2019. ed. / Theodore E. Simos; Theodore E. Simos; Theodore E. Simos; Zacharoula Kalogiratou; Theodore Monovasilis. American Institute of Physics Inc., 2019. 170008 (AIP Conference Proceedings; Vol. 2186).

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

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Cha JH, Lee H, Finkelstein M. Computational formula for the impact of stochastic dependence on the insurance premium. In Simos TE, Simos TE, Simos TE, Kalogiratou Z, Monovasilis T, editors, Proceedings of the International Conference of Computational Methods in Sciences and Engineering 2019, ICCMSE 2019. American Institute of Physics Inc. 2019. 170008. (AIP Conference Proceedings). doi: 10.1063/1.5138087

Computational formula for the impact of stochastic dependence on the insurance premium

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