Limiting Distribution of the Present Value of a Portfolio

Gary Parker

ASTIN Bulletin, 1994, vol. 24, issue 1, 47-60

Abstract: An approximation of the distribution of the present value of the benefits of a portfolio of temporary insurance contracts is suggested for the case where the size of the portfolio tends to infinity. The model used is the one presented in Parker (1922b) and involves random interest rates and future lifetimes. Some justifications of the approximation are given. Illustrations for limiting portfolios of temporary insurance contracts are presented for an assumed Ornstein-Uhlenbeck process for the force of interest.

Date: 1994
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