Present value of some insurance portfolios

DOI10.1080/03461238.1997.10413975MaRDI QIDQ4248558zbMATH OpenOpenAlexFDO

Authors Jostein Paulsen

Publication date 10 January 2000

Published in Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03461238.1997.10413975

zbMATH Keywords

Poisson processespresent valuestochastic discounting

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Applications of statistics to actuarial sciences and financial mathematics (62P05) Probabilistic methods, stochastic differential equations (65C99)

Review text

The author considers the discounted present value of an insurance portfolio under the assumption that the accident-handling payment process is a Poisson process on some infinite-dimensional space. In particular, the first two moments of the present value of the total discounted payment stream conditioned on the discounting process \(\{R(t)\}\) are calculated. Explicit results are derived in case the discounting process follows a geometric Brownian motion. If \(\{R(t)\}\) is driven by some underlying interest rate process which follows the CIR dynamics, the model becomes more complex. Formulas are provided which allow to calculate the first two moments of the value process numerically.

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Cited in

(10)

• Present value distributions with applications to ruin theory and stochastic equations
• Linear generalized stochastic systems for insurance portfolios
• Moments of the present value of a portfolio of policies
• scientific article; zbMATH DE number 1165663 (Why is no real title available?)
• Berechnung von barwerten bei periodischer zinsentwicklung
• Exponential bounds of ruin probabilities for non-homogeneous risk models
• Continuous-time perpetuities and time reversal of diffusions
• Barwerte von Renten mit Dynamik
• Computing present values by the AGM
• A uniform asymptotic estimate for discounted aggregate claims with subexponential tails

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