A dual random model of a portfolio of variable amount whole life annuity is set with the mth moment of the present value of benefits, and the respective expressions of the moments under the assumption that the force o...A dual random model of a portfolio of variable amount whole life annuity is set with the mth moment of the present value of benefits, and the respective expressions of the moments under the assumption that the force of interest accumulation function is Wiener process or Ornstein-Uhlenbeck process. Furthermore, the limiting distribution of average cost of this portfolio is discussed with the expression of the limiting distribution under the assumption that the force of interest accumulation is an independent increment process.展开更多
The present paper aims to show the impact of continuous time calculation on life insurance pricing and reserving in the Algerian context. The discrete time approach allows insurance companies to facilitate calculation...The present paper aims to show the impact of continuous time calculation on life insurance pricing and reserving in the Algerian context. The discrete time approach allows insurance companies to facilitate calculation process but with less accuracy. This approach implies constancy of death quotients during a year. However, the death risk is a continuous function in time. For more accuracy and equity in pricing, calculation needs to consider the exact dates of different payments and also a continuous capitalization process. This gives more adequate premium with fewer hypotheses. This work shows how insurers can propose more adequate pricing using the same actuarial life table.展开更多
文摘A dual random model of a portfolio of variable amount whole life annuity is set with the mth moment of the present value of benefits, and the respective expressions of the moments under the assumption that the force of interest accumulation function is Wiener process or Ornstein-Uhlenbeck process. Furthermore, the limiting distribution of average cost of this portfolio is discussed with the expression of the limiting distribution under the assumption that the force of interest accumulation is an independent increment process.
文摘The present paper aims to show the impact of continuous time calculation on life insurance pricing and reserving in the Algerian context. The discrete time approach allows insurance companies to facilitate calculation process but with less accuracy. This approach implies constancy of death quotients during a year. However, the death risk is a continuous function in time. For more accuracy and equity in pricing, calculation needs to consider the exact dates of different payments and also a continuous capitalization process. This gives more adequate premium with fewer hypotheses. This work shows how insurers can propose more adequate pricing using the same actuarial life table.
