Stochastic analysis of life insurance surplus

DOI10.1016/J.INSMATHECO.2014.02.006MaRDI QIDQ2513451zbMATH OpenOpenAlexFDO

Authors Natalia Nolde, Gary Parker

Publication date 28 January 2015

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

Full work available at URL https://doi.org/10.1016/j.insmatheco.2014.02.006

zbMATH Keywords

AR(1) processdistribution functioninsurance surplusstochastic rates of return

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

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Cites work

• Approximations for life annuity contracts in a stochastic financial environment
• Generalized Linear Array Models with Applications to Multidimensional Smoothing
• scientific article; zbMATH DE number 1336612 (Why is no real title available?)
• scientific article; zbMATH DE number 1958330 (Why is no real title available?)
• Modeling and forecasting U.S. mortality. (With discussion)
• On life insurance reserves in a stochastic mortality and interest rates environment
• Stochastic analysis in life office management: applications to large annuity portfolios
• Stochastic Analysis of the Interaction Between Investment and Insurance Risks
• Stochastic pension fund modelling

Cited in

(15)

• On the accumulated aggregate surplus of a life portfolio.
• On probability distributions of present values in life insurance
• Linear quadratic mean-field-game of backward stochastic differential systems
• Analysis of survivorship life insurance portfolios with stochastic rates of return
• On Bonus and Bonus Prognoses in Life Insurance
• Surplus-linked life insurance
• Level premiums model for portfolio of life insurance policies with stochastic interest rate
• A stochastic theory of life insurance
• Economic scenario generator and parameter uncertainty: a Bayesian approach
• Stochastic analysis of duplicates in life insurance portfolios
• Generalized Frasier Claim Rates Under Survivorship Life Insurance Policies
• Relationship between backward and forward linear-quadratic mean-field-game with terminal constraint and optimal asset allocation for insurers and pension funds
• A general surplus decomposition principle in life insurance
• On technical bases and surplus in life insurance
• The interaction of guarantees, surplus distribution, and asset allocation in with-profit life insurance policies

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