Level premiums model for portfolio of life insurance policies with stochastic interest rate

zbMATH Open1150.91428MaRDI QIDQ3501475FDOQ3501475

Authors: Ming Dong 

Publication date: 3 June 2008

Recommendations

• On life insurance reserves in a stochastic mortality and interest rates environment
• The premium and the risk of a life policy in the presence of interest rate fluctuations
• Stochastic analysis of a portfolio of endowment insurance policies
• Stochastic analysis of life insurance surplus
• Financial and Demographic Risks of a Portfolio of Life Insurance Policies with Stochastic Interest Rates

zbMATH Keywords

stochastic interest rateactuarial sciencelevel premiumshomogeneous portfolio of policies

Mathematics Subject Classification ID

Special types of economic equilibria (91B52)

Cited In (7)

• The premium and the risk of a life policy in the presence of interest rate fluctuations
• Modeling and approximated procedure life insurance bond by the stochastic mortality and short interest rate
• Indifference pricing of a life insurance portfolio with systematic mortality risk in a market with an asset driven by a Lévy process
• A heavy traffic approach to modeling large life insurance portfolios
• Moments of the present value of a portfolio of policies
• Financial and Demographic Risks of a Portfolio of Life Insurance Policies with Stochastic Interest Rates
• Level premium rates as a function of initial capital

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