Pricing annuities applied on an Egyptian insurance companies /
تسعيرالدفعات- دراسة تطبيقية على شركات التأمين المصرية
Sara Abdelgabar Aly Abdallah ; Supervised Moawad Hasanen , Mona Salah Hammad
- Cairo : Sara Abdelgabar Aly Abdallah , 2019
- 104 Leaves : charts ; 30cm
Thesis (M.Sc.) - Cairo University - Faculty of Commerce - Department of Mathematics and Insurance
Inadequate pricing of annuity policy exposes life insurance companies to many risks such as adverse selection, longevity risk, insolvency due to the special and complicated nature of this policy. It has a guaranteed option, death benefits, and survival benefits. Annuities in the largest life insurance company in Egypt are offered at one price for all individuals of the same age. In particular, no other underwriting factors are taken into consideration in the company in pricing annuity. Pricing in public Egyptian life insurance companies is based only on age, duration, interest rate 6.5%, and sum assured. As a result of this problem, annuity contracts can be overpriced for some individuals or underpriced which can create many problems to the insurer. Therefore, to achieve more and accurate prices, more rating factors should be taken into consideration during the underwriting process. These factors are divided into observable factors and unobservable individual risk factors (frailty). This research quantifies and determines the effect of some of these rating factors based on the available dataset. This is done by fitting a Logistic Regression model. The results show that there is a significant difference between the estimated mortality rate based on the Egyptian insurance market and mortality rates used by the insurance company based on table 67/70. There is also a significant difference between the estimated monthly net premium and actual monthly net premium determined by the life insurance company. Therefore, the research concludes that the company should take into consideration more underwriting factors in pricing annuity contract