Martingales in life insurance

Abstract

This paper presents a general probabilistic model, including stochastic discounting, for life insurance contracts, either a single policy or a portfolio of policies. In § 4 we define prospective reserves and annual losses in terms of our model and we show that these are generalisations of the corresponding concepts in conventional life insurance mathematics. Our main results are in § 5 where we use the martingale property of the loss process to derive upper bounds for the probability of ruin for the portfolio. These results are illustrated by two numerical examples in § 6.     

Redistributive taxation and social insurance under adverse selection in the insurance market

This paper extends the analysis of optimal income taxation under uncertainty studied by Cremer and Pestieau (International Tax and Public Finance, 3, 281–295, 1996). We introduce asymmetric information in the insurance market whereby private insurance companies cannot identify the risk probability of the agents, and we examine its effect on public policy. We consider the separating equilibrium of Rothschild and Stiglitz (Quarterly Journal of Economics, 90, 629–649, 1976) and Riley (Econometrica, 47, 331–359, 1979) where the low risk agent is only partially insured. The presence of the distortion in the insurance market changes the affinity of labor, and in some cases, we show that the scope of redistribution and the resulting social welfare are higher under asymmetric information than under full information. We also show that the increase in social insurance affects the utility and labor incentive of the low risk type by relaxing the self-selection constraint in the insurance market. The policy implications of the redistributive taxation and social insurance are analytically and numerically examined.      

Medical professionalism in the life insurance industry

Steadily increasing competition has changed the underwriting environment in most life insurance companies. This article attempts to explore how heightened competition presents a new challenge for medical professionals employed in the industry.     

保险市场逆向选择与顺向选择共存研究

保险市场存在着逆向选择。经典逆向选择模型认为,风险高的人会购买更多的保险,但大多数实证研究表明保险市场还存在顺向选择。本文认为,逆向选择和顺向选择虽然对立,但共存于保险市场,在此基础上构建保险市场均衡模型,并进行了仿真研究。     

Uniqueness of the fair premium for equity-linked life insurance contracts

An equity-linked life insurance contract combines an endowment life insurance and an investment strategy with a minimum guarantee. The benefit of this contract is determined by the guaranteed amount plus a bonus equal to a call on the portfolio. This bonus is similar to an Asian option. This article analyzes the relationship between the periodic insurance premium and its proportional share invested into the portfolio. For a general model of the financial risks we show the existence and uniqueness of an insurance premium. Furthermore the premium is strictly increasing and convex as a function of the share invested.     

我国保险资金境外投资风险防范探析

随着保险业发展速度的加快,保险投资资金的不断增多,使保险资金境外投资逐步成为国内保险机构扩展投资领域、提高保险资金投资收益的重要途径。但与境外投资高收益相伴的是不容忽视的高风险,2008年下半年以来,随着美国次级债风波演变为百年难遇的全球性金融危机,国际金融形势风云突变,对外投资形势日趋严峻,我国保险资金对外投资面临着严峻的风险。本文通过对当前我国保险业保险资金境外投资面临的风险分析,采取理论与案例相结合的方式,从保险监管方式、内部风险控制、资产负债匹配、投资比例限制及投资人才储备等方面提出我国保险资金境外投资风险的具体策略和措施。     

人寿保险的互联网经营策略

近几年来，我国无论是互联网用户数量还是上网计算机数量都呈现成倍增长的态势，截至2004年12月31日，互联网用户已发展到9400万。随着互联网用户的增加，网上资讯、休闲娱乐等内容日益丰富，政府机关、教育部门、银行、证券、保险、商业机构纷纷上网。电子商务也发展迅速，目前网上商店已超过600家，并以每天2家的速度增加。中国互联网已经营造出较好的虚拟社会环境，已构成重要的生活和工作空间。     

About a duration index for life insurance contracts

Abstract

In this paper, after having defined the duration for a “generic” life insurance contract, we bring out some of its properties. We also prove that, in some cases, duration is a natural extension of well-known duration indices.     

我国商业医疗保险中的道德风险及对策

医疗行为的信息不对称以及疾病的客观性、严重性、复杂性、多样性等本质特征导致医疗保险成为道德风险发生频率最高、造成损失最大、又最难以有效规避风险的险种。道德风险是医疗保险市场失灵的重要表现。本文通过分析我国医疗保险市场逆选择和事后道德风险的不同形成原因,以期探讨有效的风险控制方法,从而降低商业医疗保险的经营风险,为促进其合理发展并最终满足居民更全面的健康需求提供帮助。     

The evolution of the Australian life insurance industry

The life insurance industry in Australia has traditionally been an important source of long term finance for both the public and private sector. However, very little historical analysis has been undertaken into an industry that constitutes a fundamental part of the economy's financial sector. The present climate of deregulation has initiated an irrevocable process of change within the industry. To comprehend the full implications of this change it is necessary to have an understanding of how the industry has evolved. This paper seeks to provide a background account of the growth of the life insurance industry in Australia highlighting the influences that have determined the structure of the industry.     

人寿保险精算监管系统

一、系统目标近年来,我国寿险业的迅速发展,外资寿险公司的不断进入,对寿险监管提出了更高的标准和要求。寿险经营的长期性和经营的复杂性也要求监管者要有强有力的技术手段对保险公司的经营进行监督管理。保险精算技术是寿险公司运营的重要基础,也是寿险监管的重要技术手段。而目前国际上通行的以保险公司偿付能力为核心的监管方式更离不开精算技术。我国目前寿险监管已建立了对保险公司偿付能力监管的制度,颁布和实施了一系列法规、制度。而在监管技术手段上却远远落后于监管制度建设,使得寿险监管手段和监管效率落后于寿险业的快速发展。…     

Actuarial concepts in the theory of financing life insurance activities

Abstract

In this paper is presented an attempt by the author to obtain conceptual clarity in the actuarial considerations concerned with financing life insurance schemes, whether private or public, It will, of course, be realized that the author is concerned ultimately with the financing of public or semi-public schemes. However, it is with deliberate intention that the exposition is presented in general terms. As is often the case, abstraction means clarification, thus avoiding a shifting of the meaning of the concepts as one goes from one special situation to another.     

基于Java平台的寿险精算网络系统

寿险业务的日常运作是以精算方法为基础的，它已贯穿于寿险业务的方方面面。目前，寿险精算已形成较完善和系统的理论和方法，但在国内，寿险精算仍是一项难以理解且很复杂的业务，它涉及定价、营销、控制等各个环节，且随着现代保险产品在功能和结构上的更新而变得日益多样。精算所需处理的问题也越来越复杂，     

Social security, life insurance and annuities for families

In this paper we ask whether an aspect of social security, namely its role as a provider of insurance against uncertain life spans, is welfare enhancing. To this end we use an OLG model where agents have a bequest motive and differ in sex and marital status and where families are formed and destroyed and their characteristics evolve (exogenously) according to U.S. demographic patterns of marriage, divorce, fertility and mortality. We compare the implications of social security under a variety of market structures that differ in the extent to which life insurance and annuities are available. We find that social security is a bad idea. In economies where the private sector provides annuities and life insurance, it is a bad idea for the standard reason that it distorts the intertemporal margin by lowering the capital stock. In the absence of such securities social security is still a very bad idea, only marginally less so compared with economies with annuities and life insurance. We also explore these issues in a world where people live longer and we find no differences in our answers. As a by-product of our analysis we find that the existence of life insurance opportunities for people is important in welfare terms while that of annuities is not.     

寿险公司内部控制问题探析

当今社会经济的日益繁荣及经济来往的多元化、复杂化,使寿险公司的经营面临着诸多风险,加强内部控制研究和实施就成为寿险公司亟待解决的一个问题。本文揭示了内部控制的涵义和本质,描述了寿险公司内部控制的特点和目前存在的问题,提出了加强寿险公司内部控制应采取的对策:强化内部控制在战略管理中的地位;寿险公司内部控制作为核心竞争力的培育;建立寿险公司内部控制标准;提升内部控制设计思路;加强内部控制的执行力等。     

湖南保险代理公司业务转型趋势及风险探析

随着寿险业务经营理念的不断深入,加之资本市场运作的推动以及公司持续发展的需要,湖南的部分保险代理公司已经逐渐向代理寿险业务转型。尽管湖南寿险专业代理机构采取了精英模式、华康模式、泛华模式等不同的经营管理模式,但都呈现出资金实力相对比较强,分支机构建设力度较大,盈利周期普遍较长,合作模式和渠道单一,从业人员素质不高等共同特点。监管机构必须高度关注寿险专业代理机构发展过程中存在的风险,及时采取应对措施,以促进湖南保险业持续健康发展。     

Prognostic features of menopausal and postmenopausal applicants for life insurance

The increasing proportion of the aged in the population is posing significant new challenges to politics, society and medicine as well. Gerontology and geriatrics are playing a role in all areas of preventive and curative medicine. Since the life expectancy of women is approximately eight years longer than that of men, gynecology draws special significance from the fact that the greater part of an aging society will primarily be comprise of women. The medical treatment and care of women in climacteric and postmenopause in the past is seriously inadequate by today's standards. The attitude in earlier years of not making any great investment of cost or personnel in patients over 75 can, in view of the vitality of modern-day senior citizens, no longer be justified or maintained. The necessity of establishing old-age gynecology becomes more and more clear and urgent. The decrease of ovarian function in menopause is without doubt an important turning point in the life of a woman. The first signs of aging are inescapable. Following these years a woman still has more than one third of life expectancy ahead of her which she would like to and should spend in good mental, spiritual and physical health. The principle of postmenopausal hormone replacement has shown itself to be amazingly successful in treating climacteric disorders and their effects on the entire organism. Treatment over many years with as board a spectrum as possible of preventive hormones to combat the long-term consequences of hormone deficiency, like osteoporosis-related fractures, heart attacks, or strokes, is one of the great medical advances of our time. Furthermore, the significance of preventing a number of genital concern manifestations through hormone replacement therapy cannot be overestimated. Gynecology has taken a remarkable step toward its goal of enabling aging women to spend the third part of their lives free of unnecessary diseases and suffering. In 1994, after consultation with representatives of European countries during the World Congress of the International Menopause Society, a statement was published by the menopause society of German-speaking countries. In this consensus paper, a stand was taken on hormone replacement therapy in postmenopause. The purpose of this paper was to serve as an aid in formulating and interpreting the text in the package inserts that are enclosed with hormone preparations. The most important passages were to once again summarize the present status of knowledge on hormone replacement therapy and its risks and benefits: (Estradiol is the estrogen normally produced by a woman's ovaries that exercises all functions of the natural follicle hormone. It is used to treat all symptoms of estrogen deficiency). Estrogen eliminates, or mitigates, all typical symptoms of estrogen deficiency in menopause, including hot flashes, night sweats and other complaints frequently observed like nervousness, sleep disturbance and depression, with great reliability. Estrogen stimulates the cell division of an aging organism, of mucous membranes, of supportive and connective tissue. It improves the blood circulation and the salt and water content. Furthermore, estrogen prevents or eliminates deterioration in the urogenital area and the disorders that result from such deterioration. Estrogen prevents or retards bone deterioration, osteoporosis and spinal, lower arm and femur fractures. By positively influencing HDL- and LDL-cholesterol, blood vessels and circulation, long-term estrogen replacement inhibits the development of arteriosclerosis and nearly halves the frequency of heart attacks and strokes. The mortality rate of women over 50 is therefore decreased significantly and life expectancy increased. (Benefits to the blood vessels of such preventive treatment can already be seen after five years of estrogen therapy and their benefits continue for several years after treatment is stopped.     

A proposal for a new basis of life insurance calculations in Norway

Abstract

The basis used by Norwegian life insurance companies for the calculation of premiums and reserves is, as regards insurances, The Institute of Actuaries Life Tables H ^M (20 British Life Offices tables) with interest at 4 per cent. This basis has been used by Norwegian companies for more than thirty-five years and has proved entirely safe.