On life insurance reserves in a stochastic mortality and interest rates environment

The calculation of the reserves in a stochastic mortality and interest rates environment for a general portfolio of life insurance policies is examined. The first two moments of the prospective loss random variable for the general portfolio are derived. A Monte Carlo simulation method is used to est...

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Bibliographic Details
Published in:Insurance, mathematics & economics mathematics & economics, 1999-12, Vol.25 (3), p.261-280
Main Authors: Marceau, Etienne, Gaillardetz, Patrice
Format: Article
Language:English
Subjects:
Insurance
Insurance policies
Interest rates
Life insurance
Monte Carlo simulation
Mortality
Portfolio management
Prospective reserves
Random variables
Stochastic interest
Stochastic models
Stochastic mortality
Stochastic processes
Studies
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Summary:The calculation of the reserves in a stochastic mortality and interest rates environment for a general portfolio of life insurance policies is examined. The first two moments of the prospective loss random variable for the general portfolio are derived. A Monte Carlo simulation method is used to estimate the distribution of this random variable. Another approximation of the prospective loss random variable which is based on the assumption of a large portfolio is also considered. In the numerical examples, a discrete-time model for the stochastic interest rates is assumed.
ISSN:0167-6687
1873-5959
DOI:10.1016/S0167-6687(99)00019-0