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A portfolio of endowment policies and its limiting distribution

  • Gary Parker (a1)
Abstract
Abstract

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.

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Copyright
Corresponding author
Department of Mathematics and Statistics, Simon Fraser University, Burnaby, BC V5A 1S6, Canada
References
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Beekman J.A. and Fuelling C.P. (1991) Extra randomness in certain annuity models. Insurance: Mathematics and Economics, 10, 275287.
Beekman J.A. and Fuelling C.P. (1993) One approach to dual randomness in life insurance. Scandinavian Actuarial Journal 1993, 2, 173182.
Coward L. E. (1988) Mercer handbook of Canadian pension and welfare plans. 9th edition, CCH Canadian, Don Mills, 337 pp.
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Norberg R. (1993) Solvency study in life insurance. Proceedings of the 3th AFIR International Colloquium, 821830.
Norberg R. and Møller C.M. (1993) Thiele's differential equation by stochastic interest of diffusion type. Working paper No 117, Laboratory of Actuarial Mathematics, University of Copenhagen.
Parker G. (1992) An application of stochastic interest rates models in life assurance. Ph.D. thesis, Heriot-Watt University, 229 pp.
Parker G. (1994a) Moments of the present value of a portfolio of policies. Scandinavian Actuarial Journal, 1994/1, 5367.
Parker G. (1994b) Limiting distribution of the present value of a portfolio. ASTIN Bulletin, 24/1, 4760.
Parker G. (1994c) Stochastic analysis of an insurance portfolio. Proceedings of the 4th AFIR Colloquium, 4965.
Parker G. (1994d) Stochastic analysis of a portfolio of endowment policies. Scandinavian Actuarial Journal, 1994/2, 119130.
Parker G. (1994e) Two stochastic approaches for discounting actuarial functions. ASTIN Bulletin, 24/2, 167181.
Parker G. (1994f) A portfolio of endowment policies and its limiting distribution. Working paper 119, Laboratory of Actuarial Mathematics, University of Copenhagen.
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ASTIN Bulletin: The Journal of the IAA
  • ISSN: 0515-0361
  • EISSN: 1783-1350
  • URL: /core/journals/astin-bulletin-journal-of-the-iaa
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