Mägebier A, Gatzert N (2016)
Publication Type: Journal article, Original article
Publication year: 2016
Publisher: Society of Actuaries
DOI: 10.1080/10920277.2015.1109457
The aim of this paper is to study the impact of disability insurance on an insurer’s risk situation for a portfolio also consisting of annuity and term life contracts. We provide a model framework using discrete time non-homogeneous bivariate Markov renewal processes and in a simulation study focus on diversification benefits as well as potential natural hedging effects (risk-minimizing or risk-immunizing portfolio compositions) that may arise within the portfolio due to the different types of biometric risks. Our analyses emphasize that disability insurances are a less efficient tool to hedge shocks to mortality and that their high sensitivity towards shocks to disability risks cannot be easily counterbalanced by other life insurance products. However, the addition of disability insurance can still considerably lower the overall company risk.
APA:
Mägebier, A., & Gatzert, N. (2016). The Impact of Disability Insurance on a Portfolio of Life Insurances. North American Actuarial Journal. https://dx.doi.org/10.1080/10920277.2015.1109457
MLA:
Mägebier, Alexander, and Nadine Gatzert. "The Impact of Disability Insurance on a Portfolio of Life Insurances." North American Actuarial Journal (2016).
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