Stochastic analysis of life insurance surplus
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| Tag | 1 | 2 | Valor |
|---|---|---|---|
| LDR | 00000cab a2200000 4500 | ||
| 001 | MAP20140023707 | ||
| 003 | MAP | ||
| 005 | 20140731112912.0 | ||
| 008 | 140704e20140505esp|||p |0|||b|spa d | ||
| 040 | $aMAP$bspa$dMAP | ||
| 084 | $a6 | ||
| 100 | 1 | $0MAPA20140011230$aNolde, Natalia | |
| 245 | 1 | 0 | $aStochastic analysis of life insurance surplus$cNatalia Nolde, Gary Parker |
| 520 | $aThe 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. | ||
| 650 | 4 | $0MAPA20080602437$aMatemática del seguro | |
| 650 | 4 | $0MAPA20080570590$aSeguro de vida | |
| 650 | 4 | $0MAPA20080554330$aExcedentes | |
| 650 | 4 | $0MAPA20080586447$aModelo estocástico | |
| 650 | 4 | $0MAPA20080625535$aDistribuciones de probabilidad | |
| 650 | 4 | $0MAPA20080571566$aCasos prácticos | |
| 650 | 4 | $0MAPA20080579258$aCálculo actuarial | |
| 700 | 1 | $0MAPA20140013050$aParker, Gary | |
| 773 | 0 | $wMAP20077100574$tInsurance : mathematics and economics$dOxford : Elsevier, 1990-$x0167-6687$g05/05/2014 Volumen 56 Número 1 - mayo 2014 , p. 1-13 |