Pricing Annuity Insurance Integrating Mortality Improvement Risk, Interest Rate Risk, Insolvency Risk and Insurance Demand

被引：0
|
作者：
Mao, H. [1 ]
Ostaszewski, K. M. [2 ]
Wang, Y. L. [3 ]
机构：
[1] Shanghai Second Polytech Univ, Sch Econ & Management, Shanghai, Peoples R China
[2] Illinois State Univ, Dept Math, Normal, IL USA
[3] Shanghai Univ Finance & Econom, Shanghai, Peoples R China
来源：
2011 IEEE INTERNATIONAL CONFERENCE ON INDUSTRIAL ENGINEERING AND ENGINEERING MANAGEMENT (IEEM) | 2011年
关键词：
Annuity pricing; stochastic process; mortality improvement; OPTION;
D O I：
暂无
中图分类号：
T [工业技术];
学科分类号：
08 ;
摘要：
In this paper, we discuss the pricing of annuity insurance. We emphasize how to consider the mortality risk in pricing model and at the same time, integrate interest rate risk, insolvency risk and insurance demand. The results of our analysis show that it is beneficial to both of consumers and insurers if considering the factor of mortality improvement in pricing of annuity insurance.
引用
收藏
页码：704 / 708
页数：5
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