Title of article
Moments of the cash value of future payment streams arising from life insurance contracts
Author/Authors
De?bicka، نويسنده , , Joanna، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2003
Pages
18
From page
533
To page
550
Abstract
A model for the cash value of a stream of future payments arising from an insurance contract, where the interest rate and future-lifetime are random, is studied. A matrix form for formulas for the first two moments of the cash value of the stream of future payments for a portfolio of policies is derived. Numerical illustrations for the rate of interest modeled by a Wiener and an Ornstein–Uhlenbeck process are provided.
Keywords
Portfolio of policies , Cash value of the payment stream , Wiener Process , Joint randomness in interest and mortality , Ornstein–Uhlenbeck process
Journal title
Insurance Mathematics and Economics
Serial Year
2003
Journal title
Insurance Mathematics and Economics
Record number
1542690
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