Articlebronze1994

Limiting Distribution of the Present Value of a Portfolio

44 citations0/0 files storedAstin Bulletin

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Probability and Risk Models Stochastic processes and financial applications Insurance, Mortality, Demography, Risk Management

Abstract

Abstract An approximation of the distribution of the present value of the benefits of a portfolio of temporary insurance contracts is suggested for the case where the size of the portfolio tends to infinity. The model used is the one presented in Parker (1922b) and involves random interest rates and future lifetimes. Some justifications of the approximation are given. Illustrations for limiting portfolios of temporary insurance contracts are presented for an assumed Ornstein-Uhlenbeck process for the force of interest.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 44 citations exist upstream.

References

1990The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding 1980Stochastic Modelling of Interest Rates with Applications to Life Contingencies 1988Movements of pension contributions and fund levels when rates of return are random 1976Rates of Return as Random Variables 1990Interest and mortality randomness in some annuities 1994Moments of the present value of a portfolio of policies 1978The moments and distributions of actuarial functions

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.