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A class of life insurance reserve model and risk analysis in a stochastic interest rate environment

✍ Scribed by Jia, Niannian ;Jia, Changqing ;Qiu, Wei

Book ID
107475700
Publisher
Higher Education Press and Springer
Year
2010
Tongue
English
Weight
252 KB
Volume
4
Category
Article
ISSN
1673-7350

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On life insurance reserves in a stochastic mortality and interest rates environment
✍ Etienne Marceau; Patrice Gaillardetz πŸ“‚ Article πŸ“… 1999 πŸ› Elsevier Science 🌐 English βš– 240 KB

The calculation of the reserves in a stochastic mortality and interest rates environment for a general portfolio of life insurance policies is examined. The first two moments of the prospective loss random variable for the general portfolio are derived. A Monte Carlo simulation method is used to est