IDEAS home Printed from https://ideas.repec.org/a/taf/uaajxx/v4y2000i4p44-55.html
   My bibliography  Save this article

Financial and Demographic Risks of a Portfolio of Life Insurance Policies with Stochastic Interest Rates

Author

Listed:
  • Maria Bruno
  • Emanuela Camerini
  • Alvaro Tomassetti

Abstract

We refer to a recent paper by G. Parker (1997) in which the risk of a portfolio of life insurance policies (namely the risk related to the entire contractual life) is studied by separating the demographic component from the financial component. In our paper, after making a brief summary of Parker’s model, we propose two additional contributions:We first give the problem a different formalization, thus allowing a portfolio risk analysis by management periods and a study of the risk due to the interactions among years;We elaborate on a powerful and flexible algorithm for calculating the probability distribution of the sum of random variables that proves useful to solve not only the problems discussed in this paper concerning the risk analysis but also various other problems.In the paper, we also show, for both contributions, some applications made under the same financial and demographic assumptions taken by Parker; we also compare our results with Parker’s results.

Suggested Citation

  • Maria Bruno & Emanuela Camerini & Alvaro Tomassetti, 2000. "Financial and Demographic Risks of a Portfolio of Life Insurance Policies with Stochastic Interest Rates," North American Actuarial Journal, Taylor & Francis Journals, vol. 4(4), pages 44-55.
  • Handle: RePEc:taf:uaajxx:v:4:y:2000:i:4:p:44-55
    DOI: 10.1080/10920277.2000.10595937
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/10920277.2000.10595937
    Download Restriction: Access to full text is restricted to subscribers.

    File URL: https://libkey.io/10.1080/10920277.2000.10595937?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

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


    Cited by:

    1. Karabey, Uǧur & Kleinow, Torsten & Cairns, Andrew J.G., 2014. "Factor risk quantification in annuity models," Insurance: Mathematics and Economics, Elsevier, vol. 58(C), pages 34-45.
    2. Rabitti, Giovanni & Borgonovo, Emanuele, 2020. "Is mortality or interest rate the most important risk in annuity models? A comparison of sensitivity analysis methods," Insurance: Mathematics and Economics, Elsevier, vol. 95(C), pages 48-58.
    3. Chen, Li & Lin, Luyao & Lu, Yi & Parker, Gary, 2017. "Analysis of survivorship life insurance portfolios with stochastic rates of return," Insurance: Mathematics and Economics, Elsevier, vol. 75(C), pages 16-31.

    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:taf:uaajxx:v:4:y:2000:i:4:p:44-55. 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: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/uaaj .

    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.