Valuation models for life portfolios within a multistate setting
This paper deals with the valuation of portfolios of insurances of the person. To this purpose, the basic aspects of the insurance business, i.e. the management of financial resources, the profitability and the management of the capital invested into the business are analysed, adopting a three-fold approach. The main contribution in this paper consists in embedding this perspective into a time-continuous Markov model, which represents the natural setting for life insurance valuations. Several concepts and the relevant relationships clearly emerge within the context of the three-sided valuation model. In particular, interesting relations between the concepts of life fund and mathematical reserve appear. Moreover, several concepts of profit are derived, generalising the traditional one. Finally, the investment of shareholders’ equity into the portfolio is analysed.
To our knowledge, this item is not available for
download. To find whether it is available, there are three
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
|Date of creation:||2001|
|Contact details of provider:|| Postal: Via J.F. Kennedy 6, 43100 PARMA (Italy)|
Web page: http://economia.unipr.it/de
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:par:dipeco:2001-me03. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Andrea Lasagni)
If references are entirely missing, you can add them using this form.