Title of article
A Proposal Based on Stochastic Differential Equations for Income
Author/Authors
Franco-Arbeláez ، Luis Ceferino Instituto Tecnológico Metropolitano , Franco-Ceballos ، Luis Eduardo Instituto Tecnológico Metropolitano , Olivares-Aguayo ، Héctor Alonso Faculty of Business - Universidad La Salle México
From page
1
To page
8
Abstract
Previous work has highlighted the need to apply stochastic modeling to understand the dynamics of phenomena occurring in the insurance industry. In this paper, for life insurance and applying a stochastic approach under efficient markets, we use survival probabilities and stochastic differential equations to model the actuarial reserve, changes in the constituted actuarial reserve, and estimated income over time. We present an application, sensitivity analysis, and discussion of the results using United States life tables.
Keywords
Life insurance , Actuarial science , Stochastic processes , Brownian motion
Journal title
International Journal of Industrial Engineering and Production Research
Journal title
International Journal of Industrial Engineering and Production Research
Record number
2743993
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