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• W2034102447 abstract "Abstract The aim of the paper is to examine the behavior of insurance surplus over time for a portfolio of homogeneous life policies. We distinguish between stochastic and accounting surpluses and derive their first two moments. A recursive formula is proposed for calculating the distribution function of the accounting surplus. We then examine the probability that the accounting surplus becomes negative in a given insurance year. Numerical examples illustrate the results for portfolios of temporary and endowment life policies assuming a conditional AR(1) process for the rates of return." @default.
• W2034102447 created "2016-06-24" @default.
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• W2034102447 date "2014-05-01" @default.
• W2034102447 modified "2023-09-27" @default.
• W2034102447 title "Stochastic analysis of life insurance surplus" @default.
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• W2034102447 doi "https://doi.org/10.1016/j.insmatheco.2014.02.006" @default.
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