Asset and Liability Management in Health Insurance

  • Ashiq Mohd ILYAS Department of Mathematics and Actuarial Science B.S. Abdur Rahman Crescent University, Chennai, India
  • S. RAJASEKARAN Department of Mathematics and Actuarial Science B.S. Abdur Rahman Crescent University, Chennai, India

Abstract

In this paper, we focus on the issues in asset and liability management (ALM) in health insurance particularly in the Indian context. The regulations in health insurance imposed by Insurance regulatory and development authority (IRDA) for ALM policies, Stress testing and mandated Investments are reflected in this paper. An analytic approach has been incorporated for measuring duration, convexity, clean price and dirty price with an amendment in yield till maturity for the bond securities in the portfolio of the health insurer. The Changes in the projection of portfolio values with a change in yield have been graphically analysed. The Reddingtons immunisation conditions were used for the portfolio of the insurer to analyse the immunisation level. The basic chain ladder method is incorporated to predict the Incurred But Not Reported (IBNR) claims reserve for best estimations of liability value of the insurer.

References

References
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Published
2017-12-11
How to Cite
ILYAS, Ashiq Mohd; RAJASEKARAN, S.. Asset and Liability Management in Health Insurance. Journal of Advanced Studies in Finance, [S.l.], v. 8, n. 1, p. 19-29, dec. 2017. ISSN 2068-8393. Available at: <https://journals.aserspublishing.eu/jasf/article/view/1568>. Date accessed: 22 jan. 2022. doi: https://doi.org/10.14505//jasf.v8.1(15).02.
Section
Journal of Advanced Studies in Finance