Financial and Demographic Risks of a Portfolio of Life Insurance Policies with Stochastic Interest Rates

DOI10.1080/10920277.2000.10595937zbMath1083.62525OpenAlexW1530998103MaRDI QIDQ5718132

Emanuela Camerini, Maria Giuseppina Bruno, Alvaro Tomassetti

Publication date: 13 January 2006

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2000.10595937

Mathematics Subject Classification ID

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

Related Items (7)

Analysis of survivorship life insurance portfolios with stochastic rates of return ⋮ “Authors’ Reply: Financial and Demographic Risks of a Portfolio of Life Insurance Policies with Stochastic Interest Rates: Evaluation Methods and Applications,” Maria Giuseppina Bruno, Emanuela Camerini and Alvaro Tomassetti, October 2000 - Discussion by Fabrizio Cacciafesta ⋮ Is mortality or interest rate the most important risk in annuity models? A comparison of sensitivity analysis methods ⋮ The prediction risk for the development of mortality -- can it be minimized by an appropriate portfolio composition? ⋮ A new method for evaluating the distribution of aggregate claims ⋮ Some further ideas concerning the interaction between insurance and investment risks ⋮ Factor risk quantification in annuity models

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