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

MAP20140023707

Stochastic analysis of life insurance surplus / Natalia Nolde, Gary Parker

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.

En: Insurance : mathematics and economics. - Oxford : Elsevier, 1990- = ISSN 0167-6687. - 05/05/2014 Volumen 56 Número 1 - mayo 2014 , p. 1-13

1. Matemática del seguro . 2. Seguro de vida . 3. Excedentes . 4. Modelo estocástico . 5. Distribuciones de probabilidad . 6. Casos prácticos . 7. Cálculo actuarial . I. Parker, Gary . II. Title.