This PhD thesis covers aspects of policyholder preferences and life insurance
projections based on economic scenarios. Both topics are relevant to policyholders
as well as to the life insurance and pension industry—and equally
important, the topics give rise to a variety of interesting mathematical problems
and industry related considerations.
From a policyholder perspective, being aware of one’s own preferences is
central for making the best possible financial decisions, with life insurance and
pensions playing a major role. From an industry perspective, understanding
policyholder preferences is important for designing competitive life insurance
and savings products and for providing sound advice to policyholders. Preferences
come in many shapes and forms. In this thesis, we focus on separation of
risk and time preferences and preferences for smooth investment. The latter
is modeled with something as unconventional as explicit preferences for not
trading, and if not careful, the former entails time-inconsistency.
From a policyholder and advisory perspective, scenario-based projections
allow for tailor-made bonus, benefit, and retirement savings prognoses that
illustrate financial riskiness to the policyholder. From an industry and accounting
perspective, scenario-based projections allow for valuation of life insurance
contracts taking into account both guaranteed and non-guaranteed
payments. In this thesis, we focus on economic scenarios because they ensure
a low mathematical complexity even for complex financial markets, and we
model participating life and unit-linked insurance in the same two-account
framework.