Reports from Simon Fraser University Advance Knowledge in Insurance Economics (Analysis of survivorship life insurance portfolios with stochastic…

Reports from Simon Fraser University Advance Knowledge in Insurance Economics (Analysis of survivorship life insurance portfolios with stochastic rates of return)

By a News Reporter-Staff News Editor at Insurance Weekly News -- A new study on Economics - Insurance Economics is now available. According to news reporting originating in Burnaby, Canada, by VerticalNews journalists, research stated, "A general portfolio of survivorship life insurance contracts is studied in a stochastic rate of return environment with a dependent mortality model. Two methods are used to derive the first two moments of the prospective loss random variable."

Financial support for this research came from Natural Science and Engineering Research Council (NSERC) of Canada.

The news reporters obtained a quote from the research from Simon Fraser University, "The first one is based on the individual loss random variables while the second one studies annual stochastic cash flows. The distribution function of the present value of future losses at a given valuation time is derived. For illustrative purposes, an AR(1) process is used to model the stochastic rates of return, and the future lifetimes of a couple are assumed to follow a copula model."

According to the news reporters, the research concluded: "The effects of the mortality dependence, the portfolio size and the policy type, as well as the impact of investment strategies on the riskiness of portfolios of survivorship life insurance policies are analyzed by means of moments and probability distributions."

For more information on this research see: Analysis of survivorship life insurance portfolios with stochastic rates of return. Insurance Mathematics & Economics, 2017;75():16-31. Insurance Mathematics & Economics can be contacted at: Elsevier Science Bv, PO Box 211, 1000 Ae Amsterdam, Netherlands.

Our news correspondents report that additional information may be obtained by contacting L.Y. Lin, Simon Fraser University, Dept. of Stat & Actuarial Sci, Burnaby, BC, Canada. Additional authors for this research include L. Chen, Y. Lu and G. Parker.

Keywords for this news article include: Burnaby, British Columbia, Canada, North and Central America, Insurance Economics, Economics, Insurance Companies, Simon Fraser University.

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