For several years stochastic models have been proposed that are able to capture uncertainty linked to the future development both of financial and demographic components inherent in the policy. We consider a multistate life insurance contract and propose a model where both the interest intensity and the transition intensities, the latter describing the demographic structure, are managed by multistate stochastic models. In particular, we study a life insurance contract and derive differential equations of the mathematical prospective reserve. Finally, we study mean values of actualization factors and survival probabilities, and derive the differential equations they satisfy. Such results allow us to obtain adequate premium flows. Mathematics Sub ject Classifications (2000). 60J27, 91B30, 91B70

A Markov process interest and mortality model

GOSIO, CRISTINA;RAVERA, MARINA
2008-01-01

Abstract

For several years stochastic models have been proposed that are able to capture uncertainty linked to the future development both of financial and demographic components inherent in the policy. We consider a multistate life insurance contract and propose a model where both the interest intensity and the transition intensities, the latter describing the demographic structure, are managed by multistate stochastic models. In particular, we study a life insurance contract and derive differential equations of the mathematical prospective reserve. Finally, we study mean values of actualization factors and survival probabilities, and derive the differential equations they satisfy. Such results allow us to obtain adequate premium flows. Mathematics Sub ject Classifications (2000). 60J27, 91B30, 91B70
File in questo prodotto:
Non ci sono file associati a questo prodotto.

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11567/244582
Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus ND
  • ???jsp.display-item.citation.isi??? ND
social impact