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Measuring Process Risk in Income Protection Insurance

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  • Haberman, Steven
  • Butt, Zolan
  • Rickayzen, Ben

Abstract

The main objective of this paper is to measure the process error for a portfolio of independent disability insurance policies in a multiple state modelling context. We consider the calculation of premiums for a portfolio of income protection insurance policies in a stochastic environment represented both by random transitions in the underlying multiple state model and random external economic factors in the form of stochastic investment returns and inflation. We also investigate the sensitivity of the process error to the level of volatility incorporated in a given model using suitably defined risk measures. We then draw conclusions and identify possible avenues for future research.

Suggested Citation

  • Haberman, Steven & Butt, Zolan & Rickayzen, Ben, 2004. "Measuring Process Risk in Income Protection Insurance," ASTIN Bulletin, Cambridge University Press, vol. 34(1), pages 199-227, May.
    • Handle: RePEc:cup:astinb:v:34:y:2004:i:01:p:199-227_01
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