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A stochastic model for financial evaluation: applications to actuarial contracts
Author(s) -
Di Lorenzo Emilia,
Sibillo Marilena,
Tessitore Gerarda
Publication year - 1999
Publication title -
applied stochastic models in business and industry
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.413
H-Index - 40
eISSN - 1526-4025
pISSN - 1524-1904
DOI - 10.1002/(sici)1526-4025(199910/12)15:4<269::aid-asmb392>3.0.co;2-f
Subject(s) - autocovariance , life insurance , actuarial science , present value , annuity , econometrics , economics , expected value , interest rate , value (mathematics) , life annuity , finance , mathematics , statistics , pension , mathematical analysis , fourier transform
This paper presents a model for the force of interest which is based on the consideration of a real force of interest deviations from its estimated value; the resulting stochastic process for financial evaluation is characterized by its expected value and autocovariance functions. Then applications of the results to actuarial contracts are proposed. In particular, the cases of temporary life annuity and n ‐year term life insurance are considered and their expected values and variances are illustrated. Copyright © 1999 John Wiley & Sons, Ltd.