 Applications of central limit theorems for equity-linked insuranceRunhuan Feng and Yasutaka Shimizu Insurance: Mathematics and Economics, 2016, vol. 69, issue C, 138-148 Abstract: In both the past literature and industrial practice, it was often implicitly used without any justification that the classical strong law of large numbers applies to the modeling of equity-linked insurance. However, as all policyholders’ benefits are linked to common equity indices or funds, the classical assumption of independent claims is clearly inappropriate for equity-linked insurance. In other words, the strong law of large numbers fails to apply in the classical sense. In this paper, we investigate this fundamental question regarding the validity of strong laws of large numbers for equity-linked insurance. As a result, extensions of classical laws of large numbers and central limit theorem are presented, which are shown to apply to a great variety of equity-linked insurance products. Keywords: Equity-linked insurance; Variable annuity guaranteed benefits; Risk measures; Strong law of large numbers; Central limit theorem; Individual model; Aggregate model (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:69:y:2016:i:c:p:138-148 DOI: 10.1016/j.insmatheco.2016.05.004 Access Statistics for this article Insurance: Mathematics and Economics is currently edited by R. Kaas, Hansjoerg Albrecher, M. J. Goovaerts and E. S. W. Shiu More articles in Insurance: Mathematics and Economics from Elsevier |
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