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Stochastic analysis in life office management: applications to large annuity portfolios
Author(s) -
Coppola Mariarosaria,
Di Lorenzo Emilia,
Sibillo Marilena
Publication year - 2003
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/asmb.468
Subject(s) - actuarial science , portfolio , economics , life annuity , insolvency , econometrics , risk management , investment portfolio , investment (military) , financial economics , pension , finance , politics , political science , law
The paper deals with the riskiness analysis for a large portfolio of life annuities. By means of the limiting distribution of the present value of the portfolio, in the first part of the paper a model for evaluating the investment and the projection risks is presented. In the second part, with regard to the investment risk's effects, the insolvency risk is measured considering the cumulative probability distribution function of the discounted average cost per policy. Copyright © 2003 John Wiley & Sons, Ltd.