Stochastic analysis in life office management: applications to large annuity portfolios-Reference-Cited by-同舟云学术

Stochastic analysis in life office management: applications to large annuity portfolios

Published:2003-01 Issue:1 Volume:19 Page:31-42
ISSN:1524-1904
Container-title:Applied Stochastic Models in Business and Industry
language:en
Short-container-title:Appl. Stochastic Models Bus. Ind.

Author:

Coppola Mariarosaria,Di Lorenzo Emilia,Sibillo Marilena

Publisher

Wiley

Subject

Management Science and Operations Research,General Business, Management and Accounting,Modeling and Simulation

Reference18 articles.

1. Longevity risk and life annuity reinsurance. Transaction of the 26th International Congress of Actuaries, Vol. 6, Birmingham, 1998; 453-479.

2. Investment risk and longevity risk in a life annuities portfolio. Proceedings of the ?II Italian-Spanish Conference on Financial Mathematics?, Napoli, 1999.

3. Limiting Distribution of the Present Value of a Portfolio

4. A portfolio of endowment policies and its limiting distribution

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