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A portfolio of endowment policies and its limiting distribution

Published online by Cambridge University Press:  29 August 2014

Gary Parker
Gary Parker*
Affiliation:
Simon Fraser University, Vancouver
*
Department of Mathematics and Statistics, Simon Fraser University, Burnaby, BC V5A 1S6, Canada
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Abstract

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Two methods for approximating the limiting distribution of the present value of the benefits of a portfolio of identical endowment insurance contracts are suggested. The model used assumes that both future lifetimes and interest rates are random. The first method is similar to the one presented in Parker (1994b). The second method is based on the relationship between temporary and endowment insurance contracts.

Keywords

Force of interestWhite Noise processOrnstein-Uhlenbeck processPortfolio of policiesPresent value functionLimiting distribution
Type
Articles
Information
ASTIN Bulletin: The Journal of the IAA , Volume 26 , Issue 1 , May 1996 , pp. 25 - 33
Copyright
Copyright © International Actuarial Association 1996

References

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