A Model for Risk Adjustment (IFRS 17) for Surrender Risk in Life Insurance

被引：0

作者：

Carlehed, Magnus ^{[1
]}

机构：

[1] Stockholm Univ, Dept Math, S-10691 Stockholm, Sweden

来源：

RISKS | 2023年 / 11卷 / 03期

关键词：

risk adjustment; IFRS; 17; surrender risk; ultimo risk measure; convex ordering; BOUNDS; LAPSE; SUMS;

D O I：

10.3390/risks11030062

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We propose a model for risk adjustment, in the context of IFRS 17, for surrender risk. Surrender rates are assumed to follow a stochastic process, underpinned by data. The distribution of the present value of future individual cash flows is calculated. Using well-known techniques from the theory of convex ordering of stochastic variables, we present closed formula approximations of risk measures, such as quantiles, for the total portfolio. These formulas are easy to program and enable an insurance company to calculate its risk adjustment without time-consuming simulations.

引用

页数：22

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