Looking at concentration and composition in the life insurance context

Looking at concentration and composition in the life insurance context

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Speaker(s): Josée Kaulich-Bartz (Swiss Reinsurance Company), Walter Olbricht (University of Bayreuth)

Is the majority of the sum insured in a portfolio of life insurance policies due to a few large or rather due to many small contracts? Is this 'concentration' changing over time? How does a certain company or portfolio's experience compare to others?

Which dread diseases account for the biggest percentage of disability cases? Is this 'composition' changing over time? How does a certain company or portfolio's experience compare to others?

Questions of this type are important for actuaries, but specific statistical tools for such data do not appear to be widely used. This is in strong contrast to other fields, like economics, where the recent debates about increasing concentration of income and wealth (e. g. the current inequality debate) centered around concepts like Lorenz curves or Gini coefficients, or the geosciences where the composition of minerals (e. g. with ternary diagrams) has been studied for a long time.

The talk introduces some of these techniques and tools and explores their potential for life insurance, as well as their limitations. The ideas are illustrated by small real-world examples drawn from the Swiss Re data monitoring pool ('Swiss Re Bestandsmonitoring') and recent Swiss Re studies on the insurability of HIV-positive people.

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