Journal article
MINIMIZING BANKRUPTCY PROBABILITY OF A LIFE INSURER SOME ANALYTICAL CONSIDERATIONS
Abstract
This paper studies the portfolio problem faced by a life insurance company which sells an annuity, collects fees/premiums for it as a lump-sum, and for solvency considerations invests in a financial market with several investment opportunities. The company has to choose the investment strategy (a portfolio) which minimizes the probability of being unable to pay the annuity before it stops being in force, and this occurs when portfolio value …
Authors
Cahyaningtias S; Jevtić P; Pirvu TA; Tran T
Journal
UPB Scientific Bulletin Series A Applied Mathematics and Physics, Vol. 85, No. 4, pp. 91–100
Publication Date
January 1, 2023
ISSN
1223-7027