Level Premium Model for Portfolio of Life Insurance Contracts with Stochastic Interest Rates

This paper studies the determination of level premium for a homogeneous portfolio of life insurance contracts under the stochastic interest rates and future lifetimes environment. It is proved that as the number of insured tends to infinity the average loss random variable of this portfolio tends in probability to a certain random variable of which the approximate distribution function is derived. The approximation of the distribution is justified by looking at two correlation coefficients. Illustration for limiting portfolio is presented for an assumed Ornstein-Uhlenbeck process for the force of interest