Moments of the present value of a portfolio of policies

DOI10.1080/03461238.1994.10413929zbMATH Open0802.62091OpenAlexW2080731104MaRDI QIDQ4311652FDOQ4311652

Authors: Gary Parker 

Publication date: 30 October 1994

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

Full work available at URL: https://doi.org/10.1080/03461238.1994.10413929

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zbMATH Keywords

Ornstein-Uhlenbeck processinterest rateslife insuranceforce of interestrecursive calculationfirst three momentsfuture lifetimesmoments of insurance functionsportfolio of identical policiespresent value of insurance benefits

Mathematics Subject Classification ID

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

Cites Work

• The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding
• Title not available (Why is that?)
• Extra randomness in certain annuity models
• Interest and mortality randomness in some annuities
• Stochastic models for bond prices, function space integrals and immunization theory

Cited In (21)

• On life insurance reserves in a stochastic mortality and interest rates environment
• Bounds for present value functions with stochastic interest rates and stochastic volatility.
• A second order stochastic differential equation for the force of interest
• Approximations for life annuity contracts in a stochastic financial environment
• Stochastic interest model based on compound Poisson process and applications in actuarial science
• Moments of the cash value of future payment streams arising from life insurance contracts.
• Moments and distribution of the net present value of a serial project
• Some further ideas concerning the interaction between insurance and investment risks
• Some remarks concerning stochastic interest rates in relation to long term insurance policies
• Present value of some insurance portfolios
• Stochastic analysis of a portfolio of endowment insurance policies
• A class of life insurance reserve model and risk analysis in a stochastic interest rate environment
• Stochastic life annuities
• Optimal asset allocation for a general portfolio of life insurance policies
• Stochastic Analysis of the Interaction Between Investment and Insurance Risks
• Early surrender and the distribution of policy reserves
• Title not available (Why is that?)
• A stochastic model for the force of interest
• A stochastic model for financial evaluation: Applications to actuarial constructs
• Dual random model of increasing life insurance for multiple-life status
• Title not available (Why is that?)

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