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

DOI10.1002/ASMB.468zbMATH Open1039.91036OpenAlexW1988624222MaRDI QIDQ4455500FDOQ4455500

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

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zbMATH Keywords

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

Mathematics Subject Classification ID

Cites Work

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

Cited In (8)

• A stochastic programming model for funding single premium deferred annuities
• Stochastic analysis of a portfolio of endowment insurance policies
• Analysis of survivorship life insurance portfolios with stochastic rates of return
• Longevity risk in portfolios of pension annuities
• Stochastic analysis of life insurance surplus
• Stochastic Analysis of the Interaction Between Investment and Insurance Risks
• Die Entwicklung von Rentnerbeständen als stochastischer Prozeß
• Title not available (Why is that?)

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