Stochastic analysis of a portfolio of endowment insurance policies

DOI10.1080/03461238.1994.10413934zbMath0810.62094OpenAlexW2001330629MaRDI QIDQ4322967

Gary Parker

Publication date: 3 April 1995

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

Full work available at URL: https://doi.org/10.1080/03461238.1994.10413934

zbMATH Keywords

Ornstein- Uhlenbeck processforce of interestportfolio of policiesmoments of insurance functionsportfolios of identical endowment insurance contracts

Mathematics Subject Classification ID

Related Items (12)

Unnamed Item ⋮ The present value of a stochastic perpetuity and the gamma distribution ⋮ Early surrender and the distribution of policy reserves ⋮ Moments of the cash value of future payment streams arising from life insurance contracts. ⋮ Optimal asset allocation for a general portfolio of life insurance policies ⋮ On life insurance reserves in a stochastic mortality and interest rates environment ⋮ Self-Annuitization and Ruin in Retirement ⋮ Stochastic Analysis of the Interaction Between Investment and Insurance Risks ⋮ Stochastic interest model based on compound Poisson process and applications in actuarial science ⋮ An approach to the study of multistate insurance contracts ⋮ Some limiting properties of the bounds of the present value function of a life insurance portfolio ⋮ Approximations for life annuity contracts in a stochastic financial environment

Cites Work

• Unnamed Item
• Interest and mortality randomness in some annuities
• Extra randomness in certain annuity models
• Payment Measures, Interest, and Discounting
• Hattendorff's theorem and Thiele's differential equation generalized
• Some remarks concerning stochastic interest rates in relation to long term insurance policies
• Moments of the present value of a portfolio of policies

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