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A stochastic model for financial evaluation: applications to actuarial contracts

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  • Emilia Di Lorenzo
  • Marilena Sibillo
  • Gerarda Tessitore

Abstract

This paper presents a model for the force of interest which is based on the consideration of a real force of interest deviations from its estimated value; the resulting stochastic process for financial evaluation is characterized by its expected value and autocovariance functions. Then applications of the results to actuarial contracts are proposed. In particular, the cases of temporary life annuity and n‐year term life insurance are considered and their expected values and variances are illustrated. Copyright © 1999 John Wiley & Sons, Ltd.

Suggested Citation

  • Emilia Di Lorenzo & Marilena Sibillo & Gerarda Tessitore, 1999. "A stochastic model for financial evaluation: applications to actuarial contracts," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 15(4), pages 269-275, October.
    • Handle: RePEc:wly:apsmbi:v:15:y:1999:i:4:p:269-275
    DOI: 10.1002/(SICI)1526-4025(199910/12)15:43.0.CO;2-F
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    Cited by:

    1. Cocozza, R & Di Lorenzo, E & Sibillo, M, 2004. "Methodological problems in solvency assessment of an insurance company," MPRA Paper 27980, University Library of Munich, Germany.
    2. Cocozza, Rosa & Di Lorenzo, Emilia, 2007. "A Dynamic Solvency Approach for Life Insurance," MPRA Paper 28015, University Library of Munich, Germany.

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