Stochastic analysis of a portfolio of endowment insurance policies

Parker (1994) presents a model for the present value of insurance benefits where the interest rates and future lifetimes are random. This paper presents a generalization of this model which can be used for portfolios of identical endowment insurance contracts. Illustrations of these moments when the force of interest is modeled by an Ornstein-Uhlenbeck process are presented. When of interest, some comparisons with the corresponding moments for a portfolio of temporary insurance contracts are made.