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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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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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description	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.
doi_str_mv	10.1016/S0167-6687(99)00019-0
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source	International Bibliography of the Social Sciences (IBSS); Backfile Package - Economics, Econometrics and Finance (Legacy) [YET]; Elsevier; Backfile Package - Mathematics (Legacy) [YMT]
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
title	On life insurance reserves in a stochastic mortality and interest rates environment
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