Moments of the present value of a portfolio of policies

DOI10.1080/03461238.1994.10413929zbMath0802.62091OpenAlexW2080731104MaRDI QIDQ4311652

Gary Parker

Publication date: 30 October 1994

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

Full work available at URL: https://doi.org/10.1080/03461238.1994.10413929

zbMATH Keywords

Ornstein-Uhlenbeck processinterest rateslife insuranceforce of interestrecursive calculationfirst three momentsfuture lifetimesmoments of insurance functionsportfolio of identical policiespresent value of insurance benefits

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items

Present value of some insurance portfolios, Unnamed Item, A second order stochastic differential equation for the force of interest, A class of life insurance reserve model and risk analysis in a stochastic interest rate environment, Bounds for present value functions with stochastic interest rates and stochastic volatility., Stochastic analysis of a portfolio of endowment insurance policies, A stochastic model for the force of interest, 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, Stochastic Analysis of the Interaction Between Investment and Insurance Risks, Stochastic interest model based on compound Poisson process and applications in actuarial science, Some further ideas concerning the interaction between insurance and investment risks, Dual random model of increasing life insurance for multiple-life status, Approximations for life annuity contracts in a stochastic financial environment, Stochastic Life Annuities

Cites Work

• Interest and mortality randomness in some annuities
• Extra randomness in certain annuity models
• Stochastic models for bond prices, function space integrals and immunization theory
• The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding
• Unnamed Item