Insurance contracts portfolios with heterogenous parametric life distributions

Autor:	N. A. Langberg, M. Dahan, Esther Frostig
Rok vydání:	2004
Předmět:	Statistics and Probability Endowment policy Economics and Econometrics Statistics::Applications Mathematics::Optimization and Control Upper and lower bounds Insurance policy Life insurance Economics Dominance order Statistics Probability and Uncertainty Parametric family Majorization Mathematical economics Parametric statistics
Zdroj:	Scandinavian Actuarial Journal. 2004:431-447
ISSN:	1651-2030 0346-1238
DOI:	10.1080/03461230410020383
Popis:	In this paper we consider two portfolios: one of m endowment insurance contracts and one of m whole life insurance contracts. We introduce the majorization order, Schur functions, and parametric families of distribution functions. We assume that the owners of the portfolios are exposed to different members of a known parametric family of distributions and study the effect of this stochastic heterogeneity on the premiums and death benefits of the insurance contracts. We show that the premiums paid in both contracts are Schur concave and that the death benefit awarded in the whole life contract is Schur convex. We provide upper and lower bounds for the premiums and for the death benefit, and compute the bounds for four parametric families of distribution functions used frequently in the Actuarial Sciences.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::1a37f050a994339528ee61826357538a https://doi.org/10.1080/03461230410020383 Zobrazit plný text záznamu Plný text ve formátu PDF Plný text ve formátu HTML
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