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An option pricing approach to bonus policy. In memoriam Anthony P. Limb

Published online by Cambridge University Press:  20 April 2012

A. D. Wilkie
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Extract

In this paper I discuss a simple application of option pricing theory to bonuses on with-profits life assurance policies. The approach is a new one and I have been able to make only an introductory exploration of its possible applications. Nevertheless it seems to me to give actuaries some sort of a handle for gripping the rather intractable problem of the relationship between reversionary bonus, terminal bonus and the proceeds of comparable unit-linked policies. I look at the problem very much from the policyholder's side, and I am not concerned here with aspects of valuation or solvency. These require further investigation.

Type
Research Article
Information
Journal of the Institute of Actuaries , Volume 114 , Issue 1 , June 1987 , pp. 21 - 90
Copyright
Copyright © Institute and Faculty of Actuaries 1987

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References

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