Martingales in life insurance |
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| Authors: | Alex Papatriandafylou Howard R Waters |
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| Institution: | 1. Astir Insurance Company, S.A. , 6 Merlin Street, Athens , 134 , Greece;2. Department of Actuarial Mathematics and Statistics , Heroit-Watt University , Riccarton, Currie, Edinburgh , Scotland |
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| Abstract: | Abstract This paper presents a general probabilistic model, including stochastic discounting, for life insurance contracts, either a single policy or a portfolio of policies. In § 4 we define prospective reserves and annual losses in terms of our model and we show that these are generalisations of the corresponding concepts in conventional life insurance mathematics. Our main results are in § 5 where we use the martingale property of the loss process to derive upper bounds for the probability of ruin for the portfolio. These results are illustrated by two numerical examples in § 6. |
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