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 Ornstem-Uhlenbeck process for the force of interest.
Volume
24:1
Page
47-60
Year
1994
Categories
Actuarial Applications and Methodologies
Investments
Portfolio Strategy
Financial and Statistical Methods
Aggregation Methods
Financial and Statistical Methods
Risk Pricing and Risk Evaluation Models
Publications
ASTIN Bulletin
