In this paper, we propose an enhanced method for the measurement of profitability of life insurance products. In contrast to most of the existing literature, we consider the development of the insurance contracts over their entire lifetime under the real-world probability measure and distinguish between different sources of capital. We study the pathwise realization of random variables describing shareholder profitability to obtain and analyze their distribution. These distributions are more versatile than single statistics such as expected values since they additionally allow for the analysis of extreme outcomes. Moreover, we specifically consider the strain on shareholders arising from the solvency capital requirement under Solvency II. We use a cost of capital approach based on the explicit computation of the solvency capital requirement and the interrelated capital required from shareholders for each year of the projection period. To demonstrate the feasibility of our profit measures, we provide a concrete application to products with interest rate guarantees including an internal model approach for market risks under Solvency II. Our numerical application shows that our proposed profit measures are particularly suitable for revealing the profitability of different life insurance products in today’s regulatory environment.

在本文中，我们提出了一种增强的方法来衡量人寿保险产品的获利能力。与大多数现有文献相反，我们考虑了在现实世界的概率测度下保险合同在整个生命周期中的发展，并区分了不同的资金来源。我们研究了描述股东获利能力的随机变量的逐步实现，以获取并分析其分布。这些分布比预期值之类的单一统计数据更具通用性，因为它们还可以分析极端结果。此外，我们特别考虑了偿付能力II下偿付能力资本要求对股东造成的压力。我们使用资本成本的方法是基于对预测期每年的偿付能力资本要求和股东的相关资本的明确计算。为了证明我们的利润衡量方法的可行性，我们对带有利率担保的产品提供了具体的应用，其中包括偿付能力标准II下针对市场风险的内部模型方法；我们的数值应用表明，我们提出的利润衡量方法特别适合于揭示不同利润的情况。当今监管环境中的人寿保险产品。