Estimation of future discretionary benefits in traditional life insurance
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In the context of traditional life insurance, the future discretionary benefits (FDB), which are a central item for Solvency II reporting, are generally calculated by computationally expensive Monte Carlo algorithms. We derive analytic formulas for lower and upper bounds for the FDB. This yields an estimation interval for the FDB, and the average of lower and upper bound is a simple estimator. These formulae are designed for real world applications, and we compare the results to publicly available reporting data.
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