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  • Modelling Actuarial Present Value Using Stochastic Discount Function With Jumps

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    Julius Fergy Rabago
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    The document provides a formula for computing insurance premiums using a stochastic discount function that incorporates a Vasicek model with jumps. Specifically, it models the actuarial present value of a whole life insurance policy with a unit payable at the moment of death, where the time to maturity is a random variable representing the future lifetime of the insured. The abstract outlines using this approach to derive a formula for premiums based on a stochastic discount rate that includes the Vasicek short-rate model with jumps to account for uncertainty in the time of payment.

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    The document provides a formula for computing insurance premiums using a stochastic discount function that incorporates a Vasicek model with jumps. Specifically, it models the actuarial present value of a whole life insurance policy with a unit payable at the moment of death, where the time to maturity is a random variable representing the future lifetime of the insured. The abstract outlines using this approach to derive a formula for premiums based on a stochastic discount rate that includes the Vasicek short-rate model with jumps to account for uncertainty in the time of payment.

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    © All Rights Reserved
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    15 views1 page

    Modelling Actuarial Present Value Using Stochastic Discount Function With Jumps

    Uploaded by

    Julius Fergy Rabago
    The document provides a formula for computing insurance premiums using a stochastic discount function that incorporates a Vasicek model with jumps. Specifically, it models the actuarial present value of a whole life insurance policy with a unit payable at the moment of death, where the time to maturity is a random variable representing the future lifetime of the insured. The abstract outlines using this approach to derive a formula for premiums based on a stochastic discount rate that includes the Vasicek short-rate model with jumps to account for uncertainty in the time of payment.

    Copyright:

    © All Rights Reserved
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    MODELLING ACTUARIAL PRESENT

    VALUE USING STOCHASTIC


    DISCOUNT FUNCTION WITH JUMP
    PROCESSES
    Julius Fergy T. Rabago
    <jtrabago@upd.edu.ph>
    October 9, 2014
    Abstract
    We provide a formula for a premium computed using a
    stochastic discount function. Particularly, we use Vasicek
    model with jumps to model an actuarial present value of a
    whole life insurance with a unit payable at the moment of
    death . In this case, time to maturity in financial valuation
    models is adjusted with T (), a continuous random variable
    representing future lifetime of a life-aged-.
    Key Words and Phrases: Actuarial present value,
    stochastic discount function, Vasicek model, jump processes.

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