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Deferred life annuities: on the combined effects of stochastic mortality and interest rates

โœ Scribed by Antje Mahayni, Daniel Steuten

Book ID
118819066
Publisher
Springer-Verlag
Year
2011
Tongue
English
Weight
849 KB
Volume
7
Category
Article
ISSN
1863-6683

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On life insurance reserves in a stochast
On life insurance reserves in a stochastic mortality and interest rates environment
โœ Etienne Marceau; Patrice Gaillardetz ๐Ÿ“‚ Article ๐Ÿ“… 1999 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 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