A new way of pricing in the insurance life

Resumen

Insurance companies have always worked with a coherent risk measure to calculate the price of insurance in the field of life, by modifying the instantaneous mortality rate and thus being able to face the deviations suffered by the accident rate, which affect the price of the cousin This measure is the principle of the net premium. A new method of calculation has been developed from the mathematical instrument called the distortion function and also considered a coherent risk measure (already used by author Wang but exclusively in the non-life branch). This is the contribution of the article, the originality of the application of this function in life insurance. As an example of the mathematical model to calculate the recharged risk premium, two survival laws, the first and second Dormoy laws, have been considered and applied to survival insurance in the form of income. The use of the distortion function in the life branch results produces an increase in longevity risk, which results in the insured having to pay higher recharged premiums than the net premium.