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A stochastic model for financial evaluation: applications to actuarial contracts

Emilia Di Lorenzo, Marilena Sibillo and Gerarda Tessitore

Applied Stochastic Models in Business and Industry, 1999, vol. 15, issue 4, 269-275

Abstract: 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.

Date: 1999
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