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Stochastic analysis of a portfolio of endowment insurance policies. (English) Zbl 0810.62094

Summary: The author [ibid., No. 1, 53-67 (1994; Zbl 0802.62091)] presented a model for the present value of insurance benefits where the interest rates and future lifetimes are random. This paper presents a generalization of this model which can be used for portfolios of identical endowment insurance contracts. Illustrations of these moments when the force of interest is modeled by an Ornstein-Uhlenbeck process are presented. When of interest, some comparisons with the corresponding moments for a portfolio of temporary insurance contracts are made.

MSC:

62P05 Applications of statistics to actuarial sciences and financial mathematics
91B28 Finance etc. (MSC2000)

Citations:

Zbl 0802.62091
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References:

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