| EPSRC Reference: |
GR/M39091/01 |
| Title: |
GENERALIZED LONG TERM INSURANCE AND OPTIMAL METHODS FOR PRICING AND RESERVING |
| Principal Investigator: |
Haberman, Professor S |
| Other Investigators: |
|
| Researcher Co-Investigators: |
|
| Project Partners: |
|
| Department: |
Mathematics |
| Organisation: |
City, University of London |
| Scheme: |
Standard Research (Pre-FEC) |
| Starts: |
15 February 1999 |
Ends: |
14 June 1999 |
Value (£): |
3,200
|
| EPSRC Research Topic Classifications: |
| Mathematical Aspects of OR |
|
|
| EPSRC Industrial Sector Classifications: |
| No relevance to Underpinning Sectors |
|
|
| Related Grants: |
|
| Panel History: |
|
|
Summary on Grant Application Form |
|
The pricing of and reserving for generalised long term insurance are important issues in actuarial science, as new types of policy are designed to meet customer needs, (for example LTC, CIC and PHI) in developed populations that are ageing in demographic terms. UK data for LTC have been compile by Munich Reinsurance and OPCS, and for PHI by the Continuous Mortality Investigation (CMI) Bureau. These insurances have the common feature that the policyholder occupies a given state for a random time and then moves to another state. These transitions depend on the individual's age and so non-homogeneous stochastic processes describe them well. In order to extend existing results on pricing and reserving, it is proposed to construct algorithms that provide a recursive solution, using backward induction. The algorithms will also allow the estimation of the distribution functions of the present values of future benefit outgo and of premium income. The methodology will allow for optimising behaviour by the policyholder in terms of deciding the best time to submit a claim.
|
|
Key Findings |
|
This information can now be found on Gateway to Research (GtR) http://gtr.rcuk.ac.uk
|
|
Potential use in non-academic contexts |
|
This information can now be found on Gateway to Research (GtR) http://gtr.rcuk.ac.uk
|
|
Impacts |
|
| Description |
This information can now be found on Gateway to Research (GtR) http://gtr.rcuk.ac.uk |
| Summary |
|
| Date Materialised |
|
|
|
|
Sectors submitted by the Researcher |
|
This information can now be found on Gateway to Research (GtR) http://gtr.rcuk.ac.uk
|
| Project URL: |
|
| Further Information: |
|
| Organisation Website: |
http://www.city.ac.uk |