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Valuation of life insurance products under stochastic interest rates

✍ Scribed by Patrice Gaillardetz


Book ID
108153125
Publisher
Elsevier Science
Year
2008
Tongue
English
Weight
523 KB
Volume
42
Category
Article
ISSN
0167-6687

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On life insurance reserves in a stochast
✍ 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