An algorithm evaluating generalized life insurance programs

An algorithm evaluating generalized life insurance programs

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Article ID: iaor20052921
Country: Germany
Volume: 3
Issue: 3
Start Page Number: 329
End Page Number: 340
Publication Date: Sep 2001
Journal: Methodology and Computing in Applied Probability
Authors: , ,
Keywords: insurance
Abstract:

We study generalized life insurance (GLI) models in continuous time. These models are presented as non-homogeneous Semi-Markov processes and studied directly as such. We give an algorithm, based on recursive integral scheme, finding the expected present value of premium payments and of benefits outgo, thus enabling us to find the annual premium. An algorithm based on this method is applied numerically using real data set to calculate the above quantities for a GLI contract.

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