The paper deals with the riskiness analysis for a large portfolio of life annuities. By means of the limiting distribution of the present value of the portfolio, in the first part of the paper a model for evaluating the investment and the projection risks is presented. In the second part, with regard to the investment risk's effects, the insolvency risk is measured considering the cumulative probability distribution function of the discounted average cost per policy.
Stochastic analysis in life office management: Applications to large annuity portfolios / DI LORENZO, Emilia; Marilena, Sibillo; Coppola, Mariarosaria. - In: APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY. - ISSN 1524-1904. - STAMPA. - 19:1(2003), pp. 31-42. [10.1002/asmb.468]
Stochastic analysis in life office management: Applications to large annuity portfolios
DI LORENZO, EMILIA;COPPOLA, MARIAROSARIA
2003
Abstract
The paper deals with the riskiness analysis for a large portfolio of life annuities. By means of the limiting distribution of the present value of the portfolio, in the first part of the paper a model for evaluating the investment and the projection risks is presented. In the second part, with regard to the investment risk's effects, the insolvency risk is measured considering the cumulative probability distribution function of the discounted average cost per policy.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
