Monitoring Actuarial Present Values of Term Life Insurance By a Statistical Process Control Chart

[摘要] Tracking performance of life insurance or similar insurance policy using standard statistical process control chart is complex because of many factors. In this work, we present the difficulty in doing so. However, with some modifications of the SPC charting framework, the difficulty can be manageable to the actuaries. So, we propose monitoring a simpler but natural actuarial quantity that is typically found in recursion formulas of reserves, profit testing, as well as present values. We shared some simulation results for the monitoring process. Additionally, some advantages of doing so is discussed.

[发布机构] Statistics and Actuarial Science, Dept of Mathematics and Statistics, King Fahd University of Petroleum and Minerals, Dhahran; 31261, Saudi Arabia^1

[效力级别] 化学

[关键词] Insurance policies;Life insurance;Monitoring process;Present value;Recursion formulas;Tracking performance