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.


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


Zbl 0802.62091
Full Text: DOI


[1] DOI: 10.1016/0167-6687(90)90033-A · Zbl 0711.62100
[2] DOI: 10.1016/0167-6687(92)90059-K · Zbl 0744.62142
[3] Beekman .T. A., Scand. Actuarial J. 1993 pp 173– (1993)
[4] Bowers, N. L., Gerber, H. U., Hickman, J. C., Jones, D. A. and Nesbitt, C. J. 1986.Actuarial Mathematics, 624–624. Schaumburg: Society of Actuaries. · Zbl 0634.62107
[5] Frees E. W., Transaction of the Society of Actuaries pp 91– (1990)
[6] Norberg R., Scand. Actuarial J. 1990 pp 14– (1990) · Zbl 0734.62100
[7] Norberg R., Scand. Actuarial J. 1991 pp 3– (1991)
[8] Norberg R., Scand. Actuarial J. 1992 pp 2– (1992) · Zbl 0755.62081
[9] Norberg, R. A solvency study in life insurance. Proceedings of the Jrd AFIR International Colloquium, pp.821–830.
[10] Papachristou D. J., Scand. Actuarial J. 1991 pp 103– (1991) · Zbl 0783.62086
[11] Parker G., An application of stochastic interest rates models in life assurance (1992)
[12] Parker, G. Distribution of the present value of future cash flows. Proceedings of the Jrd AFIR International Colloquium, pp.831–843.
[13] Parker, G. Two stochastic approaches for discounting actuarial functions. Proceedings of the XXIV ASTIN Colloquium, pp.367–389.
[14] Parker G., Scand. Actuarial J. 1994 pp 53– (1994) · Zbl 0802.62091
This reference list is based on information provided by the publisher or from digital mathematics libraries. Its items are heuristically matched to zbMATH identifiers and may contain data conversion errors. It attempts to reflect the references listed in the original paper as accurately as possible without claiming the completeness or perfect precision of the matching.