|
|||||
|
|
Stochastic analysis of life insurance surplus |
|
| Institution: | 1. Department of Statistics, University of British Columbia, 3182 Earth Sciences Building, 2207 Main Mall Vancouver, BC, V6T 1Z4, Canada;2. Department of Statistics & Actuarial Science, Simon Fraser University, 8888 University Drive Burnaby, BC, V5A 1S6, Canada;1. School of Mathematics and Statistics, Southwest University, 400715 Chongqing, China;2. Department of Actuarial Science, University of Lausanne, UNIL-Dorigny, 1015 Lausanne, Switzerland;1. Social and Business Research Laboratory, Rovira i Virgili University, Av. de la Universitat 1, 43204 Reus, Spain;2. Department of Mathematics for Economics, Finance and Actuarial Science. Faculty of Economics and Business. University of Barcelona, Av. Diagonal 690, 08034 Barcelona, Spain |
| Abstract: | The aim of the paper is to examine the behavior of insurance surplus over time for a portfolio of homogeneous life policies. We distinguish between stochastic and accounting surpluses and derive their first two moments. A recursive formula is proposed for calculating the distribution function of the accounting surplus. We then examine the probability that the accounting surplus becomes negative in a given insurance year. Numerical examples illustrate the results for portfolios of temporary and endowment life policies assuming a conditional AR(1) process for the rates of return. |
| Keywords: | Insurance surplus Stochastic rates of return AR(1) process Distribution function |
| 本文献已被 ScienceDirect 等数据库收录！ | |