Reserves Models for Portfolio of Endowment Insurance Contracts with Stochastic Interest Rates

摘要：

In this paper the reserves models with deterministic and stochastic interest rates for a homogeneous portfolio of n-year endowment insurance contracts are developed. Through comparison it is proved that the mortality risk is reduced and the interest risk stays the same as the number of insured tends to infinity. The general expressions of the first two moments for the approximation of the average prospective loss random variable and the corresponding expressions under a certain interest rates model are derived.

关键词： Reserves model Actuarial science Moments Endowment insurance Stochastic interest rates

作者: Dong Ming

作者单位: Postdoctoral Base, Sun Yat-sen University, Guangzhou, P.R.China, 510275;Postdoctoral R&D Base, GF Securities Co., LTD, Guangzhou, P.R.China, 510640

会议类型: 国际会议

会议名称: 第六届管理学国际会议(Proceedings of ICM2007 the 6th International on Management)

会议地点: 武汉

会议语种:英文

页码: 662-666

在线出版日期: 2007-08-03（万方平台首次上网日期，不代表论文的发表时间）