Moments of the present value of a portfolio of policies. (English) Zbl 0802.62091

Summary: 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.


62P05 Applications of statistics to actuarial sciences and financial mathematics
91B30 Risk theory, insurance (MSC2010)
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