Stochastic analysis of life insurance surplus

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<dc:creator>Nolde, Natalia</dc:creator>
<dc:creator>Parker, Gary</dc:creator>
<dc:date>2014-05-05</dc:date>
<dc:description xml:lang="es">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.

</dc:description>
<dc:identifier>https://documentacion.fundacionmapfre.org/documentacion/publico/es/bib/147906.do</dc:identifier>
<dc:language>spa</dc:language>
<dc:rights xml:lang="es">InC - http://rightsstatements.org/vocab/InC/1.0/</dc:rights>
<dc:subject xml:lang="es">Matemática del seguro</dc:subject>
<dc:subject xml:lang="es">Seguro de vida</dc:subject>
<dc:subject xml:lang="es">Excedentes</dc:subject>
<dc:subject xml:lang="es">Modelo estocástico</dc:subject>
<dc:subject xml:lang="es">Distribuciones de probabilidad</dc:subject>
<dc:subject xml:lang="es">Casos prácticos</dc:subject>
<dc:subject xml:lang="es">Cálculo actuarial</dc:subject>
<dc:type xml:lang="es">Artículos y capítulos</dc:type>
<dc:title xml:lang="es">Stochastic analysis of life insurance surplus</dc:title>
<dc:relation xml:lang="es">En: Insurance : mathematics and economics. - Oxford : Elsevier, 1990- = ISSN 0167-6687. - 05/05/2014 Volumen 56 Número 1 - mayo 2014 , p. 1-13</dc:relation>
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