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IBNR reserves under stochastic interest rates

โœ Scribed by Marc Goovaerts; Ann De Schepper

Book ID
104299625
Publisher
Elsevier Science
Year
1997
Tongue
English
Weight
806 KB
Volume
21
Category
Article
ISSN
0167-6687

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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