Financial and demographic risks of a portfolio of life insurance policies with stochastic interest rates: Evaluation methods and applications

North American Actuarial Journal

Volumn 4, Issue 4, 2000, Pages 44-55

  Bruno, Maria Giuseppina ^a   Camerini, Emanuela ^b   Tomassetti, Alvaro ^a  

^a SAPIENZA UNIVERSITY OF ROME   (Italy)

^b Ministero di Giustizia   (Italy)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 85011216026     PISSN: 10920277     EISSN: None     Source Type: Journal    
DOI: 10.1080/10920277.2000.10595937     Document Type: Article

References (9)

1. Bruno, M.G. 1998. "About the Calculation of the Total Claim Distribution: An Alternative Procedure Aimed to Avoid the Underflow and Overflow Problems of the Traditional Recursive Formula," Transactions of the 26th International Conǵress of Actuaries, Birminǵham 4.
2. Bruno, M.G., Camerini, E., and Tomassetti, A. 1998. "Evaluation of a Portfolio of Life Insurance Policies with Stochastic Interest Rates. Preliminary Results," Economia, Societa` e Istituzioni 10(3).
3. Parker, G. 1997. "Stochastic Analysis of the Interactions between Investment and Insurance Risks," North American Actuarial Journal 1(2).
4. PARKER, G. 1994a. "Moments of the Present Value of a Portfolio of Policies," Scandinavian Actuarial Journal no. 1.
5. PARKER, G. 1994b. "Limitinǵ Distribution of the Present Value of a Portfolio," ASTIN Bulletin 24(1).
6. PARKER, G. 1994c. "Two Stochastic Approaches for Discountinǵ Actuarial Functions," ASTIN Bulletin 24(2).
7. PARKER, G. 1994d. "Stochastic Analysis of a Portfolio of Endowment Policies," Scandinavian Actuarial Journal no. 2.
8. Parker, G. 1993. "Distribution of the Present Value of Future Cash Flows," Proceedinǵs of the 3rd AFIR Colloquium, Rome.
9. Tomassetti, A., Manna, A., and Pucci, S. 1995. "Procedimenti Esatti in Orizzonti Temporali Finiti per la Valutazione delle Distribuzioni dell’Ammontare delle Varie "Rovine" Nonché delle Corrispondenti Epoche, Nella Teoria Individuale del Rischio. Applicazioni," Giornale dell’Istituto Italiano deǵli Attuari Vol. 58.