On life insurance reserves in a stochastic mortality and interest rates environment

The calculation of the reserves in a stochastic mortality and interest rate s environment for a general portfolio of life insurance policies is examine d. The first two moments of the prospective loss random variable for the ge neral portfolio are derived. A Monte Carlo simulation method is used to est imate the distribution of this random variable. Another approximation of th e prospective loss random variable which is based on the assumption of a la rge portfolio is also considered. In the numerical examples, a discrete-tim e model for the stochastic interest rates is assumed. (C) 1999 Elsevier Sci ence B.V. All rights reserved.