Kyrre Fossum Pedersen  curriculum
Norway

Author
 
Date: Thursday, March 21

Session: 77

Pensions


Paper

   Method for Calculating Disability Pension Premiums
 


Presentation

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Summary

This note describes a new model for calculating the premiums and savings for disability pensions. This method is an alternative to the model in use today Jx, the model that has been used in Norway since 1963.

MODEL IN USE TODAY: 
 Jx - method describes the probability for an "x" year old person disabled. This model is selective, that means that the probabilities are corrected since new members are healthier than the rest of the portfolio. That is due to the demands of health declaration for new members. 

THE NEW MODEL:
 The new method is based on the intensitiy of beeing disabled, recovered and dead. In addition the model includes selection and correction for the degree of disability.

Schematic view of the different states and the elements included in the new model.

A woman that has been 100% sick for 3 months has 50% chance for full disability the rest of her working life. A woman who has been sick for a period of 12 months has a chance of 70%. 

This study is intended for group and individual disablement pension, but has in contrast to Jx also possibility for:
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Calculating disability lump sum.
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Calculating the reserve for disabled persons.
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Different interest rate in premium payment period and the out paying period.
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Probability of beeing dead or alive, active or disabled.
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Model for spouse pension calculations.

In the new/alternative model, there are also possibilities for different mortality tables for disabled and active members.

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 Kyrre Fossum Pedersen

Curriculum
Study:
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aug 1994: Startet at The University of Oslo, faculty of Mathematics, Norway.
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des 2000: Finished the cand.scient degree in Actuarial science - Statistics.

Working life:
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aug 1998 : Started my actuarial work in an insurance company with name VÅR BANK OG FORSIKRING, at part time beside my study.
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sept 2000: The Insurance company where I work fusjonated into a new finance institution with name SPAREBANK 1.
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jan 2001: Started in SPAREBANK 1 on full time, after my study was finished.

My co-writer working in the same company.

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Author