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

DOI10.1016/S0167-6687(99)00019-0MaRDI QIDQ1974029zbMATH OpenOpenAlexWikidataFDO

Authors Patrice Gaillardetz, É. 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

prospective reservesstochastic intereststochastic mortality

Mathematics Subject Classification ID

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Cites work

• A straightforward analytical calculation of the distribution of an annuity certain with stochastic interest rate
• A time‐continuous markov chain interest model with applications to insurance
• An analytical inversion of a Laplace transform related to annuities certain
• Extra randomness in certain annuity models
• scientific article; zbMATH DE number 1001734 (Why is no real title available?)
• scientific article; zbMATH DE number 4032883 (Why is no real title available?)
• scientific article; zbMATH DE number 1848353 (Why is no real title available?)
• Moments of the present value of a portfolio of policies
• Reserves in Life and Pension Insurance
• Some further results on annuities certain with random interest
• Stochastic analysis of a portfolio of endowment insurance policies
• Stochastic Analysis of the Interaction Between Investment and Insurance Risks
• The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding

Cited in

(23)

• On the accumulated aggregate surplus of a life portfolio.
• 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
• Nonlinear reserving in life insurance: aggregation and mean-field approximation
• Level premiums model for portfolio of life insurance policies with stochastic interest rate
• A class of life insurance reserve model and risk analysis in a stochastic interest rate environment
• Dependence of insurer loss on variation of mortality
• über die erzeugung von stornoverteilungen
• Reserves and cash flows under stochastic retirement
• Sensitivity of life insurance reserves via Markov semigroups
• An efficient algorithm for the calculation of reserves for non-unit linked life policies
• Natural hedging of life and annuity mortality risks
• REACHING A BEQUEST GOAL WITH LIFE INSURANCE: AMBIGUITY ABOUT THE RISKY ASSET'S DRIFT AND MORTALITY'S HAZARD RATE
• scientific article; zbMATH DE number 6453521 (Why is no real title available?)
• Economic scenario generator and parameter uncertainty: a Bayesian approach
• Financial and Demographic Risks of a Portfolio of Life Insurance Policies with Stochastic Interest Rates
• Stochastic Analysis of the Interaction Between Investment and Insurance Risks
• Reserve-dependent Management Actions in life insurance
• Optimal asset allocation for a general portfolio of life insurance policies
• Interest and mortality randomness in some annuities

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