Abstract
A portfolio of different insurance policies, such as temporary, endowment, and whole life, is studied in a stochastic mortality and interest environment. The first two moments of the present value of the benefits of the portfolio are derived. The riskiness of the portfolio as measured by the variance of the present value of the benefits can be divided into an insurance risk and an investment risk in two different ways. One way leads to a more natural interpretation of the two risk components. A simple portfolio is used to illustrate the results.
Volume
1:2
Page
55-84
Year
1997
Categories
Actuarial Applications and Methodologies
Enterprise Risk Management
Risk Categories
Financial Risks
Actuarial Applications and Methodologies
Enterprise Risk Management
Risk Categories
Operational Risks
Publications
North American Actuarial Journal
