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http://bura.brunel.ac.uk/handle/2438/4293
Title: | A linear algebraic method for pricing temporary life annuities and insurance policies |
Authors: | Date, P Mamon, R Jalen, L Wang, IC |
Keywords: | Stochastic interest rate models;Stochastic mortality models;Annuity;Insurance premium |
Issue Date: | 2010 |
Publisher: | Elsevier |
Citation: | Insurance: Mathematics and Economics, 47(1): 98–104, Aug 2010 |
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. |
URI: | http://bura.brunel.ac.uk/handle/2438/4293 |
DOI: | http://dx.doi.org/10.1016/j.insmatheco.2010.04.004 |
ISSN: | 0167-6687 |
Appears in Collections: | Dept of Mathematics Research Papers Mathematical Sciences |
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