Stochastic analysis of life insurance surplus

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<title>Stochastic analysis of life insurance surplus</title>
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<namePart>Nolde, Natalia</namePart>
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<namePart>Parker, Gary</namePart>
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<abstract displayLabel="Summary">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.

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<note type="statement of responsibility">Natalia Nolde, Gary Parker</note>
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<topic>Matemática del seguro</topic>
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<topic>Seguro de vida</topic>
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<topic>Excedentes</topic>
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<topic>Modelo estocástico</topic>
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<topic>Distribuciones de probabilidad</topic>
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<topic>Casos prácticos</topic>
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<topic>Cálculo actuarial</topic>
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<title>Insurance : mathematics and economics</title>
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<publisher>Oxford : Elsevier, 1990-</publisher>
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<identifier type="issn">0167-6687</identifier>
<identifier type="local">MAP20077100574</identifier>
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<text>05/05/2014 Volumen 56 Número 1 - mayo 2014 , p. 1-13</text>
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