Indeksacja przepływów pieniężnych w ubezpieczeniach wielostanowych
Indexing cash flows in multistate insurance contracts

Summary/Abstract: This paper deals with the problem of indexing benefits, premiums and prospective reserves in multiple insurance contracts. From a financial point of view, the fixed, nonstochastic interest rates are considered. From a modelling point of view, the indexing problem is embedded in a non-homogenous Markov multiple-state framework. A time-discrete approach is adopted. The aim of this paper is to give a general formula for the reserve adjustment rate, which is a weighted mean of the rates of amendment of the benefits and of the premiums for multistateinsurance contracts. In order to simplify the form of the derived expression, we use matrix notation. This approach enables us to give a flexible tool for the analysis of indexing cash flows connected with a multistate insurance contracts and makes the numerical procedures to be implemented easier. Numerical illustration for the illness insurance contract is provided.

• Details
• Contents