Centro de Documentacion de Fundación MAPFRE - Stochastic analysis of life insurance surplus

Notes: Sumario: The aim of the paper is to examine the behavior of insurance surplus over time for a portfolio of homogeneous life policies. We distinguish between stochastic and accounting surpluses and derive their first two moments. A recursive formula is proposed for calculating the distribution function of the accounting surplus. We then examine the probability that the accounting surplus becomes negative in a given insurance year. Numerical examples illustrate the results for portfolios of temporary and endowment life policies assuming a conditional AR(1) process for the rates of return.

Related records: En: Insurance : mathematics and economics. - Oxford : Elsevier, 1990- = ISSN 0167-6687. - 05/05/2014 Volumen 56 Número 1 - mayo 2014 , p. 1-13Materia / lugar / evento: Matemática del seguro Seguro de vida Excedentes Modelo estocástico Distribuciones de probabilidad Casos prácticos Cálculo actuarial Otros autores: Parker, Gary
Other categories: 6

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