Reserves Models for Portfolio of Endowment Insurance Contracts with Stochastic Interest Rates

摘要

In this paper the reserves models with deterministic and stochastic interest rates for a homogeneous portfolio of n-year endowment insurance contracts are developed. Through comparison it is proved that the mortality risk is reduced and the interest risk stays the same as the number of insured tends to infinity. The general expressions of the first two moments for the approximation of the average prospective loss random variable and the corresponding expressions under a certain interest rates model are derived.