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Stochastic analysis in life office management: applications to large annuity portfolios

Author

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  • Mariarosaria Coppola
  • Emilia Di Lorenzo
  • Marilena Sibillo

Abstract

The paper deals with the riskiness analysis for a large portfolio of life annuities. By means of the limiting distribution of the present value of the portfolio, in the first part of the paper a model for evaluating the investment and the projection risks is presented. In the second part, with regard to the investment risk's effects, the insolvency risk is measured considering the cumulative probability distribution function of the discounted average cost per policy. Copyright © 2003 John Wiley & Sons, Ltd.

Suggested Citation

  • Mariarosaria Coppola & Emilia Di Lorenzo & Marilena Sibillo, 2003. "Stochastic analysis in life office management: applications to large annuity portfolios," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 19(1), pages 31-42, January.
    • Handle: RePEc:wly:apsmbi:v:19:y:2003:i:1:p:31-42
    DOI: 10.1002/asmb.468
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    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. Hári, Norbert & De Waegenaere, Anja & Melenberg, Bertrand & Nijman, Theo E., 2008. "Longevity risk in portfolios of pension annuities," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 505-519, April.
    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.
    4. 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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