Because of the long-term nature of life insurance policies including interest rate guarantees and the current low interest rate environment, the fair valuation of insurance contracts is of particular interest. Fair valuation is often discussed on a single contract basis or from the viewpoint of a homogenous portfolio, i.e. a portfolio with identical policies. However, insurance portfolios are heterogeneous, i.e. consist of many different contracts. These contracts interact, e.g. because they share reserves, profits and the risk of default of the insurance company. In this paper, we introduce a methodology how interactions within heterogeneous insurance portfolios can be measured and provide some sample analyses showing how different contracts may subsidize each other. This methodology also allows for a check, whether a contract is fairly calculated in a heterogeneous portfolio.

由于包括利率保证在内的寿险保单的长期性质以及当前的低利率环境，保险合同的公允估值特别受关注。公平估值通常在单一合同的基础上或从同质投资组合（即具有相同政策的投资组合）的角度进行讨论。然而，保险组合是异质的，即由许多不同的合同组成。这些合同相互作用，例如因为它们共享准备金、利润和保险公司的违约风险。在本文中，我们介绍了一种如何衡量异质保险组合内的相互作用的方法，并提供了一些样本分析，展示了不同合同如何相互补贴。这种方法还允许检查，