IDEAS home Printed from https://ideas.repec.org/a/cup/astinb/v26y1996i01p25-33_00.html
   My bibliography  Save this article

A portfolio of endowment policies and its limiting distribution

Author

Listed:
  • Parker, Gary

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.

Suggested Citation

  • Parker, Gary, 1996. "A portfolio of endowment policies and its limiting distribution," ASTIN Bulletin, Cambridge University Press, vol. 26(1), pages 25-33, May.
    • Handle: RePEc:cup:astinb:v:26:y:1996:i:01:p:25-33_00
    as

    Download full text from publisher

    File URL: https://www.cambridge.org/core/product/identifier/S0515036100003184/type/journal_article
    File Function: link to article abstract page
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Nolde, Natalia & Parker, Gary, 2014. "Stochastic analysis of life insurance surplus," Insurance: Mathematics and Economics, Elsevier, vol. 56(C), pages 1-13.
    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.
    3. Chenghsien Tsai & Weiyu Kuo & Derek Mi‐Hsiu Chiang, 2009. "The Distributions of Policy Reserves Considering the Policy‐Year Structures of Surrender Rates and Expense Ratios," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 76(4), pages 909-931, December.
    4. Tsai, Chenghsien & Kuo, Weiyu & Chen, Wei-Kuang, 2002. "Early surrender and the distribution of policy reserves," Insurance: Mathematics and Economics, Elsevier, vol. 31(3), pages 429-445, December.
    5. Debicka, Joanna, 2003. "Moments of the cash value of future payment streams arising from life insurance contracts," Insurance: Mathematics and Economics, Elsevier, vol. 33(3), pages 533-550, December.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cup:astinb:v:26:y:1996:i:01:p:25-33_00. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Kirk Stebbing (email available below). General contact details of provider: https://www.cambridge.org/asb .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.