Stochastic analysis of life insurance surplus

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      <subfield code="a">Stochastic analysis of life insurance surplus</subfield>
      <subfield code="c">Natalia Nolde, Gary Parker</subfield>
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      <subfield code="a">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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      <subfield code="t">Insurance : mathematics and economics</subfield>
      <subfield code="d">Oxford : Elsevier, 1990-</subfield>
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      <subfield code="g">05/05/2014 Volumen 56 Número 1 - mayo 2014 , p. 1-13</subfield>
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