Ανάλυση κινδύνου για χαρτοφυλάκια ράντων ζωής
Riskiness analysis for a large portfolio of life annuities
View/
Keywords
Ασφαλιστικά μαθηματικά ; Στοχαστικές διαδικασίες ; Στοχαστικά μοντέλα ; Επιτόκια ; Ανατοκισμός ; Συναρτήσεις ; Στατιστική ανάλυση ; Ράντες ζωήςAbstract
In this paper we will present two stochastic approaches which are
used for modeling interest randomness. In particular, we will be
modeling the force of interest and the force of interest accumulation
function. For the above purpose, we will use the stochastic Wiener
process and the Ornstein-Uhlenbeck one. The implicit behavior of the
force of interest will be investigated by studying the expected value of
the force of interest accumulation function. Further, we will provide
upper and lower bounds of the present value of a series of cash flows
where the discount is within a specific stochastic discount process.
Finally, we will present an application for a temporary life annuity
which concerns an individual aged x, showing the applicability of the
above Wiener and Ornstein-Uhlenbeck stochastic process.
Postgraduate Studies Programme
Αναλογιστική Επιστήμη και Διοικητική ΚινδύνουDepartment
Σχολή Χρηματοοικονομικής και Στατιστικής. Τμήμα Στατιστικής και Ασφαλιστικής ΕπιστήμηςNumber of pages
66Language
GreekCollections
Except where otherwise noted, this item's license is described as
Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές
Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές