Title :
Level Premium Model for Portfolio of Life Insurance Contracts with Stochastic Interest Rates
Author_Institution :
Sch. of Bus. Adm., South China Univ. of Technol., Guangzhou
Abstract :
This paper studies the determination of level premium for a homogeneous portfolio of life insurance contracts under the stochastic interest rates and future lifetimes environment. It is proved that as the number of insured tends to infinity the average loss random variable of this portfolio tends in probability to a certain random variable of which the approximate distribution function is derived. The approximation of the distribution is justified by looking at two correlation coefficients. Illustration for limiting portfolio is presented for an assumed Ornstein-Uhlenbeck process for the force of interest
Keywords :
contracts; economic indicators; insurance; statistical distributions; stochastic processes; Ornstein-Uhlenbeck process; approximate distribution function; correlation coefficients; homogeneous portfolio; level premium model; life insurance contracts; probability; stochastic interest rates; Contracts; Distribution functions; Economic indicators; Finance; H infinity control; Insurance; Mathematics; Portfolios; Random variables; Stochastic processes; Actuarial mathematics; Homogeneous portfolio; Level premiums; Stochastic interest rates;
Conference_Titel :
Management Science and Engineering, 2006. ICMSE '06. 2006 International Conference on
Conference_Location :
Lille
Print_ISBN :
7-5603-2355-3
DOI :
10.1109/ICMSE.2006.314037
