A stochastic model for financial evaluation: applications to actuarial contracts
Emilia Di Lorenzo,
Marilena Sibillo and
Applied Stochastic Models in Business and Industry, 1999, vol. 15, issue 4, 269-275
This paper presents a model for the force of interest which is based on the consideration of a real force of interest deviations from its estimated value; the resulting stochastic process for financial evaluation is characterized by its expected value and autocovariance functions. Then applications of the results to actuarial contracts are proposed. In particular, the cases of temporary life annuity and n‐year term life insurance are considered and their expected values and variances are illustrated. Copyright © 1999 John Wiley & Sons, Ltd.
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Persistent link: https://EconPapers.repec.org/RePEc:wly:apsmbi:v:15:y:1999:i:4:p:269-275
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