Abstract
AbstractAn approximation of the distribution of the present value of the benefits of a portfolio of temporary insurance contracts is suggested for the case where the size of the portfolio tends to infinity. The model used is the one presented in Parker (1922b) and involves random interest rates and future lifetimes. Some justifications of the approximation are given. Illustrations for limiting portfolios of temporary insurance contracts are presented for an assumed Ornstein-Uhlenbeck process for the force of interest.
Publisher
Cambridge University Press (CUP)
Subject
Economics and Econometrics,Finance,Accounting
Reference19 articles.
1. The Rate of Interest as a Stochastic Process-Theory and Applications;Wilkie;Proc. 20th International Congress of Actuaries, Tokyo,1976
2. The moments and distributions of actuarial functions
3. Parker G. (1992a) An Application of Stochastic Interest Rates Models in Life Assurance, 229 pp., Ph.D. thesis, Heriot-Watt University.
4. Stochastic Modelling of Interest Rates with Applications to Life Contingencies
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