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Approximations for life annuity contracts in a stochastic financial environment

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  • Hoedemakers, Tom
  • Darkiewicz, Grzegorz
  • Goovaerts, Marc

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  • Hoedemakers, Tom & Darkiewicz, Grzegorz & Goovaerts, Marc, 2005. "Approximations for life annuity contracts in a stochastic financial environment," Insurance: Mathematics and Economics, Elsevier, vol. 37(2), pages 239-269, October.
    • Handle: RePEc:eee:insuma:v:37:y:2005:i:2:p:239-269
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    1. Yaari, Menahem E, 1987. "The Dual Theory of Choice under Risk," Econometrica, Econometric Society, vol. 55(1), pages 95-115, January.
    2. Kaas, Rob & Dhaene, Jan & Goovaerts, Marc J., 2000. "Upper and lower bounds for sums of random variables," Insurance: Mathematics and Economics, Elsevier, vol. 27(2), pages 151-168, October.
    3. Dhaene, Jan, 1990. "Distributions in Life Insurance," ASTIN Bulletin, Cambridge University Press, vol. 20(1), pages 81-92, April.
    4. Cesari, Riccardo & Cremonini, David, 2003. "Benchmarking, portfolio insurance and technical analysis: a Monte Carlo comparison of dynamic strategies of asset allocation," Journal of Economic Dynamics and Control, Elsevier, vol. 27(6), pages 987-1011, April.
    5. Gary Parker, 1997. "Stochastic Analysis of the Interaction Between Investment and Insurance Risks," North American Actuarial Journal, Taylor & Francis Journals, vol. 1(2), pages 55-71.
    6. Parker, Gary, 1994. "Limiting Distribution of the Present Value of a Portfolio," ASTIN Bulletin, Cambridge University Press, vol. 24(1), pages 47-60, May.
    7. Dhaene, Jan, 1989. "Stochastic Interest Rates and Autoregressive Integrated Moving Average Processes," ASTIN Bulletin, Cambridge University Press, vol. 19(2), pages 131-138, November.
    8. Wolthuis, H. & Van Hoek, I., 1986. "Stochastic models for life contingencies," Insurance: Mathematics and Economics, Elsevier, vol. 5(3), pages 217-254, July.
    9. Dhaene, J. & Denuit, M. & Goovaerts, M. J. & Kaas, R. & Vyncke, D., 2002. "The concept of comonotonicity in actuarial science and finance: theory," Insurance: Mathematics and Economics, Elsevier, vol. 31(1), pages 3-33, August.
    10. Dhaene, J. & Denuit, M. & Goovaerts, M. J. & Kaas, R. & Vyncke, D., 2002. "The concept of comonotonicity in actuarial science and finance: applications," Insurance: Mathematics and Economics, Elsevier, vol. 31(2), pages 133-161, October.
    11. Hoedemakers, Tom & Beirlant, Jan & Goovaerts, Marc J. & Dhaene, Jan, 2003. "Confidence bounds for discounted loss reserves," Insurance: Mathematics and Economics, Elsevier, vol. 33(2), pages 297-316, October.
    12. Parker, Gary, 1994. "Two Stochastic Approaches for Discounting Actuarial Functions," ASTIN Bulletin, Cambridge University Press, vol. 24(2), pages 167-181, November.
    13. Beekman, John A. & Fuelling, Clinton P., 1990. "Interest and mortality randomness in some annuities," Insurance: Mathematics and Economics, Elsevier, vol. 9(2-3), pages 185-196, September.
    14. Parker, Gary, 1996. "A portfolio of endowment policies and its limiting distribution," ASTIN Bulletin, Cambridge University Press, vol. 26(1), pages 25-33, May.
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    Cited by:

    1. Nolde, Natalia & Parker, Gary, 2014. "Stochastic analysis of life insurance surplus," Insurance: Mathematics and Economics, Elsevier, vol. 56(C), pages 1-13.
    2. Constantinos T. Artikis, 2012. "Formulating a Stochastic Discounting Model with Actuarial and Risk Management Applications," SPOUDAI Journal of Economics and Business, SPOUDAI Journal of Economics and Business, University of Piraeus, vol. 62(3-4), pages 7-15, July - De.
    3. Grzegorz Darkiewicz & Griselda Deelstra & Jan Dhaene & Tom Hoedemakers & Michèle Vanmaele, 2009. "Bounds for Right Tails of Deterministic and Stochastic Sums of Random Variables," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 76(4), pages 847-866, December.
    4. Chen, Li & Lin, Luyao & Lu, Yi & Parker, Gary, 2017. "Analysis of survivorship life insurance portfolios with stochastic rates of return," Insurance: Mathematics and Economics, Elsevier, vol. 75(C), pages 16-31.
    5. Liu, Xiaoming & Jang, Jisoo & Mee Kim, Sun, 2011. "An application of comonotonicity theory in a stochastic life annuity framework," Insurance: Mathematics and Economics, Elsevier, vol. 48(2), pages 271-279, March.
    6. Jodrá, P., 2009. "A closed-form expression for the quantile function of the Gompertz–Makeham distribution," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(10), pages 3069-3075.
    7. Gbari, Samuel & Denuit, Michel, 2014. "Efficient approximations for numbers of survivors in the Lee–Carter model," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 71-77.

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