Stochastic analysis in life office management: applications to large annuity portfolios
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Publication:4455500
DOI10.1002/asmb.468zbMath1039.91036OpenAlexW1988624222MaRDI QIDQ4455500
Marilena Sibillo, Mariarosaria Coppola, Emilia Di Lorenzo
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
Ornstein-Uhlenbeck processlongevity riskinvestment riskinsolvency riskrandom projected mortality tableslife annuity portfolio
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (3)
Analysis of survivorship life insurance portfolios with stochastic rates of return ⋮ Longevity risk in portfolios of pension annuities ⋮ Stochastic analysis of life insurance surplus
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