Insurance contracts portfolios with heterogenous parametric life distributions

M. Dahan, E. Frostig and N. A. Langberg

Scandinavian Actuarial Journal, 2004, vol. 2004, issue 6, 431-447

Abstract: In this paper we consider two portfolios: one of m endowment insurance contracts and one of m whole life insurance contracts. We introduce the majorization order, Schur functions, and parametric families of distribution functions. We assume that the owners of the portfolios are exposed to different members of a known parametric family of distributions and study the effect of this stochastic heterogeneity on the premiums and death benefits of the insurance contracts. We show that the premiums paid in both contracts are Schur concave and that the death benefit awarded in the whole life contract is Schur convex. We provide upper and lower bounds for the premiums and for the death benefit, and compute the bounds for four parametric families of distribution functions used frequently in the Actuarial Sciences.

Date: 2004
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/03461230410020383 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:sactxx:v:2004:y:2004:i:6:p:431-447

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/sact20

DOI: 10.1080/03461230410020383

Access Statistics for this article

Scandinavian Actuarial Journal is currently edited by Boualem Djehiche

More articles in Scandinavian Actuarial Journal from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().