Abstract
Two methods for approximating the limiting distribution of the present value of the benefits of a portfolio of identical endowment insurance contracts are suggested. The model used assumes that both future lifetimes and interest rates me random. The first method is similar to the one presented m PARKER (1994b). The second method is based on the relationship between temporary and endowment insurance contracts.
Volume
26:1
Page
25-34
Year
1996
Categories
Actuarial Applications and Methodologies
Reserving
Discounting of Reserves
Business Areas
Other Lines of Business
Publications
ASTIN Bulletin
