On life insurance reserves in a stochastic mortality and interest rates environment

DOI10.1016/S0167-6687(99)00019-0zbMath0941.91038OpenAlexW2069305704WikidataQ126408960 ScholiaQ126408960MaRDI QIDQ1974029

Patrice Gaillardetz, Étienne Marceau

Publication date: 8 May 2000

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-6687(99)00019-0

zbMATH Keywords

stochastic intereststochastic mortalityprospective reserves

Mathematics Subject Classification ID

Related Items

Analysis of survivorship life insurance portfolios with stochastic rates of return ⋮ Early surrender and the distribution of policy reserves ⋮ ECONOMIC SCENARIO GENERATOR AND PARAMETER UNCERTAINTY: A BAYESIAN APPROACH ⋮ Optimal asset allocation for a general portfolio of life insurance policies ⋮ A model-point approach to indifference pricing of life insurance portfolios with dependent lives ⋮ Some further ideas concerning the interaction between insurance and investment risks ⋮ Stochastic analysis of life insurance surplus ⋮ Natural Hedging of Life and Annuity Mortality Risks

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