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ZJUS-A
Journal of Zhejiang University-SCIENCE A (Applied Physics & Engineering)  2002, Vol. 3 Issue (4): 449-454    DOI: 10.1631/jzus.2002.0449
Applied Mathematics     
Moments and limiting distribution of a portfolio of whole life annuity policies
HE Wen-jiong, ZHANG Yi
College Economics, College of Science, Zhejiang University, Hangzhou 310028, China
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Abstract  A dual random model of a portfolio of variable amount whole life annuity is set with the mth moment of the present value of benefits, and the respective expressions of the moments under the assumption that the force of interest accumulation function is Wiener process or Ornstein-Uhlenbeck process. Furthermore, the limiting distribution of average cost of this portfolio is discussed with the expression of the limiting distribution under the assumption that the force of interest accumulation is an independent increment process.

Key words： Whole life annuity policy      Force of interest      Present value of benefit      Moment      Limiting distribution      Wiener process      Ornstein-Uhlenbeck process      Independent increment process     
Received: 08 October 2001     
CLC:  O211.6  
  F840.6  
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HE Wen-jiong, ZHANG Yi. Moments and limiting distribution of a portfolio of whole life annuity policies. Journal of Zhejiang University-SCIENCE A (Applied Physics & Engineering), 2002, 3(4): 449-454.

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http://www.zjujournals.com/xueshu/zjus-a/10.1631/jzus.2002.0449     OR     http://www.zjujournals.com/xueshu/zjus-a/Y2002/V3/I4/449

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