Abstract
This paper uses a stochastic investment model developed by Professor A.D. Wilkie to study in probabilistic terms the investment risk to the solvency of a life assurance company. Two probabilities are considered for a cohort of policies:
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i)
the probability that the premiums paid together with investment income and any initial reserve will be insufficient to pay for the claims,
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ii)
the probability that at any time during the term of the policies the investment experience will have been sufficiently bad for a valuation to produce a deficit.
These probabilities are studied numerically for different investment strategies.
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© 1989 Kluwer Academic Publishers
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Waters, H.R. (1989). Some Aspects of Life Assurance Solvency. In: Cummins, J.D., Derrig, R.A. (eds) Financial Models of Insurance Solvency. Huebner International Series on Risk, Insurance, and Economic Security, vol 10. Springer, Dordrecht. https://doi.org/10.1007/978-94-009-2506-9_3
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DOI: https://doi.org/10.1007/978-94-009-2506-9_3
Publisher Name: Springer, Dordrecht
Print ISBN: 978-94-010-7631-9
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