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 representative policies 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.
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|Titolo:||Modeling the Future Value Distribution of a Life Insurance Portfolio|
COSTABILE, Massimo (Corresponding)
|Data di pubblicazione:||2021|
|Appare nelle tipologie:||1.1 Articolo in rivista|