Modern Policyholder Preferences and Scenario-Based Projections

PhD Defense: Ninna Reitzel Jensen

Title: Modern Policyholder Preferences and Scenario-Based Projections

Abstract:

My 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, focus is 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, focus is 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.

Supervisor: Prof. Mogens Steffensen, Math, University of Copenhagen

Co-supervisor: Ass. Prof. Jesper Lund Pedersen, Math, University of Copenhagen

Assessment committee:

Prof. Jostein Paulsen (chairman), MATH, University of Copenhagen

Prof. Frank Thomas Seifried, University of Trier

Prof. Nadine Gatzert, Friedrich-Alexander University, Erlangen-Nürnberg