Unit-Linked Life Insurance

Specialeforsvar: Lærke Lambaa Lassen

Titel: Unit-Linked Life Insurance

Abstract:  We present and examine different approaches in a multi-state Markov setup for calculating the reserve of unit-linked life insurance where benefits depend on an external investment. We derive expressions for the reserve and a Thiele-like partial differential equation for unit-linked term and pure endowment insurances with guarantees in a two-state survival model. This
theory is extended to a multi-state Markov framework for unit-linked insurance with guarantees. Additionally, we introduce a more complex and general model. As a final alternative approach, we present an existing matrix method for finding the reserve in a traditional multi-state life insurance setup. This theory is then expanded to unit-linked insurance with guarantees, deriving
a Thiele-like partial differential equation for the reserve. Theoretical and numerical examples throughout the thesis demonstrate the practical application of the derived theory. 

Vejleder: Mogens Bladt
Censor: Bjarne Højgaard, Spar Nord