Analysis of survivorship life insurance portfolios with stochastic rates of return

DOI10.1016/J.INSMATHECO.2017.04.001MaRDI QIDQ2364002zbMATH OpenOpenAlexFDO

Authors Li Chen, Luyao Lin, Yi Lu, Gary Parker

Publication date 17 July 2017

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

Full work available at URL https://doi.org/10.1016/j.insmatheco.2017.04.001

zbMATH Keywords

insurance portfoliodependent mortality modelFrank's copulastochastic rate of returnsurvivorship life insurance

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• On life insurance reserves in a stochastic mortality and interest rates environment
• Life anuities with stochastic survival probabilities: A review
• Stochastic Analysis of the Interaction Between Investment and Insurance Risks
• Stochastic analysis of life insurance surplus
• Stochastic analysis in life office management: applications to large annuity portfolios

Cites work

• scientific article; zbMATH DE number 4032883 (Why is no real title available?)
• scientific article; zbMATH DE number 1336612 (Why is no real title available?)
• An introduction to copulas.
• Approximations for life annuity contracts in a stochastic financial environment
• Bivariate Survival Models for Coupled Lives
• Copula models of joint last survivor analysis
• Extra randomness in certain annuity models
• Financial and Demographic Risks of a Portfolio of Life Insurance Policies with Stochastic Interest Rates
• Interest and mortality randomness in some annuities
• Modelling stochastic mortality for dependent lives
• On life insurance reserves in a stochastic mortality and interest rates environment
• Stochastic Analysis of the Interaction Between Investment and Insurance Risks
• Stochastic analysis in life office management: applications to large annuity portfolios
• Stochastic analysis of life insurance surplus
• The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding

Cited in

(10)

• scientific article; zbMATH DE number 7642016 (Why is no real title available?)
• Set-valued Haezendonck-Goovaerts risk measure and its properties
• Un metodo di valutazione di un portafoglio assicurativo vita
• Generalized Frasier Claim Rates Under Survivorship Life Insurance Policies
• A model-point approach to indifference pricing of life insurance portfolios with dependent lives
• Stochastic analysis of life insurance surplus
• The interaction of guarantees, surplus distribution, and asset allocation in with-profit life insurance policies
• Bivariate analysis of survivorship and persistency
• Financial and Demographic Risks of a Portfolio of Life Insurance Policies with Stochastic Interest Rates
• scientific article; zbMATH DE number 2058125 (Why is no real title available?)

This page was built for publication: Analysis of survivorship life insurance portfolios with stochastic rates of return

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2364002)