An Algorithm Evaluating Generalized Life Insurance Programs

摘要

We study generalized life insurance (GLI) models in continuous time. These models are presented as non-homogeneous Semi-Markov processes and studied directly as such. We give an algorithm, based on recursive integral scheme, finding the expected present value of premium payments and of benefits outgo, thus enabling us to find the annual premium. An algorithm based on this method is applied numerically using real data set to calculate the above quantities for a GLI contract.