Approximations for life annuity contracts in a stochastic financial environment

DOI10.1016/j.insmatheco.2005.02.003zbMath1125.91064MaRDI QIDQ2581779

Grzegorz Darkiewicz, Tom Hoedemakers, Marc J. Goovaerts

Publication date: 10 January 2006

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2005.02.003

zbMATH Keywords

Stop-loss premiums; Stochastic interest rates; Comonotonicity; Life annuities

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

Related Items

Stochastic Life Annuities, Annuity Uncertainty with Stochastic Mortality and Interest Rates, Stochastic interest model based on compound Poisson process and applications in actuarial science, An application of comonotonicity theory in a stochastic life annuity framework, Analysis of survivorship life insurance portfolios with stochastic rates of return, A closed-form expression for the quantile function of the Gompertz-Makeham distribution, Stochastic analysis of life insurance surplus, Efficient approximations for numbers of survivors in the Lee-Carter model

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