• شماره ركورد كنفرانس
    4857
  • عنوان مقاله

    Calculating Survival Probability by Stochastic Mortality

  • پديدآورندگان

    Vahabi Saman s_vahabi@sbu.ac.ir Shahid Beheshti University, , Payandeh Najafabadi Amir T Shahid Beheshti University, , Arian Hamidreza RiskLab Khatam, Khatam University

  • تعداد صفحه
    3
  • كليدواژه
    Stochastic Mortality , Premiums , Reserves , Survival Probability
  • سال انتشار
    1397
  • عنوان كنفرانس
    پنجمين كنفرانس ملي مهندسي مالي و بيم سنجي
  • زبان مدرك
    انگليسي
  • چكيده فارسي
    To calculate premiums, reserves and survival probability in life insurance, we use force of mortality which is usually considered as a deterministic. Here, we model the mortality intensity as a stochastic pro- cess and calculate survival probability which presented in [M. Dahl, Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts, Insurance: mathematics and economics, 35(1): 113-136, 2004.].
  • كشور
    ايران