ESTIMATION OF LIABILITIES FOR REMAINING COVERAGEFOR WHOLE LIFE INSURANCE USING CONTINUOUS MARKOV CHAINMODEL
The changes in accounting reporting regulations have led to changes in the calculation of insurance liabilities related to both incurred and unreported claims. The calculation of insurance reserves is heavily influenced by the component of the probability that causes individuals to exit the insur...
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| Format: | Final Project |
| Language: | Indonesia |
| Online Access: | https://digilib.itb.ac.id/gdl/view/81628 |
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| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |
| Summary: | The changes in accounting reporting regulations have led to changes in the calculation
of insurance liabilities related to both incurred and unreported claims. The calculation
of insurance reserves is heavily influenced by the component of the probability that
causes individuals to exit the insurance contract. In this final project, two causes of
individuals leaving the insurance observation are used, namely death and resignation.
The need for the right mortality table to obtain the probability of death underlies the
entire calculation of insurance liabilities. Therefore, the Lee-Carter mortality model
is used to obtain the relevant mortality probabilities in the current conditions. In this
study, the probabilities of death and resignation will be calculated using a continuous
Markov chain to anticipate the need for non-annual accounting reporting times that
cannot be provided in the mortality table. The value of insurance liabilities will be
obtained based on simulation results varying the differences in mortality probabilities
and the nominal interest rates used. |
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