Design Life Insurance Participating Policies with Annual Premiums Using Optimization Techniques

This paper deals with the design of a life insurance participating policy paid by annual premiums. Particularly, we consider the case in which the annual premium is constant. Participating policies offer a minimum interest periodically, additionally an extra interest maybe credited to the policyholder according to the performance of a special portfolio. Moreover, the policy offers to the policyholder the right to terminate the contract before maturity and receive a certain amount of money. The aim of our work is to provide a way to decide an optimal set of contractual rates and premiums for the participating policy. To this end, we built an optimization model and solve it using the soft approach for hard optimization problems.