No-arbitrage pricing for life insurance and annuities

被引：7

作者：

Carriere, JF ^{[1
]}

机构：

[1] Univ Alberta, Dept Math Sci, Edmonton, AB T6G 2G1, Canada

来源：

ECONOMICS LETTERS | 1999年 / 64卷 / 03期

关键词：

term structure of interest rates; no-arbitrage pricing; life insurance and annuities;

D O I：

10.1016/S0165-1765(99)00103-2

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Using a no-arbitrage argument, we conclude that the classical actuarial valuation formulas for Life insurance and annuities are consistent with no-arbitrage pricing, assuming that the time of death is stochastically independent of the market prices on bonds. (C) 1999 Elsevier Science S.A. All rights reserved.

引用

页码：339 / 342

页数：4