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A law of large numbers approach to valuation in life insurance [An article from: Insurance Mathematics and Economics]
Book Details
Author(s)
T. Fischer
Publisher
Elsevier
ISBN / ASIN
B000PC0F94
ISBN-13
978B000PC0F95
Availability
Available for download now
Marketplace
United States 🇺🇸
Description
This digital document is a journal article from Insurance Mathematics and Economics, published by Elsevier in 2007. The article is delivered in HTML format and is available in your Amazon.com Media Library immediately after purchase. You can view it with any web browser.
Description:
The classical Principle of Equivalence ensures that a life insurance company can accomplish that the mean balance per policy converges to zero almost surely for an increasing number of independent policyholders. By certain assumptions, this idea is adapted to the general case with stochastic financial markets. The implied minimum fair price of general life insurance policies is then uniquely determined by the product of the assumed unique equivalent martingale measure of the financial market with the physical measure for the biometric risks. The approach is compared with existing related results. Numeric examples are given.
Description:
The classical Principle of Equivalence ensures that a life insurance company can accomplish that the mean balance per policy converges to zero almost surely for an increasing number of independent policyholders. By certain assumptions, this idea is adapted to the general case with stochastic financial markets. The implied minimum fair price of general life insurance policies is then uniquely determined by the product of the assumed unique equivalent martingale measure of the financial market with the physical measure for the biometric risks. The approach is compared with existing related results. Numeric examples are given.
