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Analysis of Survivorship Life Insurance Portfolios with Stochastic Rates of Return

2018-03-05 13:07    
主题:
Analysis of Survivorship Life Insurance Portfolios with Stochastic Rates of Return
时间:
2018-03-07 15:30-16:30
地点:
北洋园校区44教B209
主讲人:
陆夷

主讲人简介

Department of Statistics and Actuarial Sciences,  Simon Fraser University, Canada

演讲内容介绍

    A general portfolio of survivorship life insurance contracts is studied in a stochastic rate of return environment with a dependent mortality model. Two methods are used to derive the first two moments of the prospective loss random variable. The first one is based on the individual loss random variables while the second one studies annual stochastic cash flows. The distribution function of the present value of future losses at a given valuation time is derived. For illustrative purposes, an autoregressive model of order one is used to model the stochastic rates of return, and the future lifetimes of a couple are assumed to follow a copula model. The effects of the mortality dependence, the portfolio size and the policy type, as well as the impact of investment strategies on the riskiness of portfolios of survivorship life insurance policies are analyzed by means of moments and probability distributions. 

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