Moments of the present value of a portfolio of policies

Authors
Citation
G. Parker,, Moments of the present value of a portfolio of policies, Scandinavian actuarial journal , 1994(1), 1994, pp. 53-67
ISSN journal
03461238
Volume
1994
Issue
1
Year of publication
1994
Pages
53 - 67
Database
ACNP
SICI code
Abstract
A model for the present value of insurance benefits where the interest rates and future lifetimes are random is presented. Recursive calculation methods involved in finding the first three moments of the present value of benefits for a portfolio of identical policies are suggested. Illustrations of these moments when the force of interest is modeled by an Ornstein-Uhlenbeck process are presented.