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
كليدواژه :
Stochastic Mortality , Premiums , Reserves , Survival Probability
عنوان كنفرانس :
پنجمين كنفرانس ملي مهندسي مالي و بيم سنجي
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.].
