Is Fair Pricing Possible? An Analysis of Participating Life Insurance Portfolios
研究了保险公司能否在保证各代投保人违约风险相同的前提下收取公平保费，发现只要存在正违约风险，代际补贴和风险差异就无法避免。
Abstract Abstract Pooling individual customers with different inception dates into a single legal entity may generate intergenerational subsidies that are accentuated when the insurer has limited liability. This article aims to investigate whether an insurer can charge fair premiums while simultaneously ensuring identical levels of default risk—measured by the value of the default put option ratio—for all generations. The decision variables for achieving these goals are asset allocation and the amount of the insurer's equity capital. We propose an accounting framework where the insurer controls for insolvency positions annually after the first contract is issued. Additionally, a run‐off framework is developed where the insurer does not declare bankruptcy in case of an insolvency, but instead stops issuing new policies and runs the company until the assets are exhausted or the last policyholder is paid. We find that intergenerational subsidies and different levels of default risk per generation cannot be avoided whenever we face a positive default risk. © 2014 Wiley Periodicals, Inc. Jrl Fut Mark