On life insurance reserves in a stochastic mortality and interest rates environment

DOI10.1016/S0167-6687(99)00019-0zbMath0941.91038WikidataQ126408960 ScholiaQ126408960MaRDI QIDQ1974029

Patrice Gaillardetz, Étienne Marceau

Publication date: 8 May 2000

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-6687(99)00019-0

zbMATH Keywords

stochastic interest; stochastic mortality; prospective reserves

Mathematics Subject Classification ID

Related Items

Natural Hedging of Life and Annuity Mortality Risks, ECONOMIC SCENARIO GENERATOR AND PARAMETER UNCERTAINTY: A BAYESIAN APPROACH, Optimal asset allocation for a general portfolio of life insurance policies, Early surrender and the distribution of policy reserves, A model-point approach to indifference pricing of life insurance portfolios with dependent lives, Analysis of survivorship life insurance portfolios with stochastic rates of return, Some further ideas concerning the interaction between insurance and investment risks, Stochastic analysis of life insurance surplus

Cites Work

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