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Distributions in Life Insurance

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Abstract

In most textbooks and papers that deal with the stochastic theory of life contingencies, the stochastic approach is restricted to the computation of expectations and higher order moments. For a wide class of insurances on a single life, we derive the distribution and the probability density function of the benefit and the loss functions. Both the continuous and the discrete case are considered.

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  • Dhaene, Jan, 1990. "Distributions in Life Insurance," ASTIN Bulletin, Cambridge University Press, vol. 20(1), pages 81-92, April.
    • Handle: RePEc:cup:astinb:v:20:y:1990:i:01:p:81-92_00
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    Cited by:

    1. Hesselager, Ole & Norberg, Ragnar, 1996. "On probability distributions of present values in life insurance," Insurance: Mathematics and Economics, Elsevier, vol. 18(1), pages 35-42, May.
    2. Hoedemakers, Tom & Darkiewicz, Grzegorz & Goovaerts, Marc, 2005. "Approximations for life annuity contracts in a stochastic financial environment," Insurance: Mathematics and Economics, Elsevier, vol. 37(2), pages 239-269, October.

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