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DC Field | Value | Language |
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dc.contributor.author | Date, P | - |
dc.contributor.author | Mamon, R | - |
dc.contributor.author | Jalen, L | - |
dc.contributor.author | Wang, IC | - |
dc.date.accessioned | 2010-04-30T15:09:39Z | - |
dc.date.available | 2010-04-30T15:09:39Z | - |
dc.date.issued | 2010 | - |
dc.identifier.citation | Insurance: Mathematics and Economics, 47(1): 98–104, Aug 2010 | en |
dc.identifier.issn | 0167-6687 | - |
dc.identifier.uri | http://bura.brunel.ac.uk/handle/2438/4293 | - |
dc.description.abstract | We recast the valuation of annuities and life insurance contracts under mortality and interest rates, both of which are stochastic, as a problem of solving a system of linear equations with random perturbations. A sequence of uniform approximations is developed which allows for fast and accurate computation of expected values. Our reformulation of the valuation problem provides a general framework which can be employed to find insurance premiums and annuity values covering a wide class of stochastic models for mortality and interest rate processes. The proposed approach provides a computationally efficient alternative to Monte Carlo based valuation in pricing mortality-linked contingent claims. | en |
dc.language.iso | en | en |
dc.publisher | Elsevier | en |
dc.subject | Stochastic interest rate models | en |
dc.subject | Stochastic mortality models | en |
dc.subject | Annuity | en |
dc.subject | Insurance premium | en |
dc.title | A linear algebraic method for pricing temporary life annuities and insurance policies | en |
dc.type | Research Paper | en |
dc.identifier.doi | http://dx.doi.org/10.1016/j.insmatheco.2010.04.004 | - |
Appears in Collections: | Dept of Mathematics Research Papers Mathematical Sciences |
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