Stochastic analysis in life office management: applications to large annuity portfolios

DOI10.1002/ASMB.468MaRDI QIDQ4455500zbMATH OpenOpenAlexFDO

Authors Mariarosaria Coppola, Emilia Di Lorenzo, Marilena Sibillo

Publication date 16 March 2004

Published in Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/asmb.468

zbMATH Keywords

Ornstein-Uhlenbeck processlongevity riskinvestment riskinsolvency riskrandom projected mortality tableslife annuity portfolio

Mathematics Subject Classification ID

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Cites work

• Differential equations for moments of present values in life insurance
• On probability distributions of present values in life insurance
• Relative Importance of Risk Sources in Insurance Systems
• Stochastic Analysis of the Interaction Between Investment and Insurance Risks

Cited in

(10)

• Stochastic Analysis of the Interaction Between Investment and Insurance Risks
• Stochastic actuarial valuations in double-indexed pension annuity assessment
• A stochastic programming model for funding single premium deferred annuities
• Analysis of survivorship life insurance portfolios with stochastic rates of return
• Die Entwicklung von Rentnerbeständen als stochastischer Prozeß
• Stochastic analysis of life insurance surplus
• scientific article; zbMATH DE number 2058125 (Why is no real title available?)
• Stochastic analysis of a portfolio of endowment insurance policies
• Longevity risk in portfolios of pension annuities
• Stochastic life annuities

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