Modelling Marital Reverse Annuity Contract in a Stochastic Economic Environment

IF 0.3 Q4 ECONOMICS
Joanna Dȩbicka, S. Heilpern, A. Marciniuk
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引用次数: 1

Abstract

In the paper, we present the methodology of calculating the benefit of a marriage reverse annuity using the multiple state model for marriage life insurance. We model the probabilistic structure and cash flows arising from marriage reverse annuity contracts in the case of the joint-life status and the last surviving status assuming that the spouses' future lifetimes are independent. Usually, it is assumed that the interest rate is constant and the same through the years. It is not a realistic assumption. Therefore, this article's purpose is to calculate benefits under the assumption that the interest rate is a stochastic process or a fuzzy number model of the constant interest rate. We conduct a comparative analysis of the amount of benefit (taking into account the different frequency of their payment) for the different models of interest rates.
随机经济环境下婚姻年金逆向契约的建模
在本文中,我们提出了使用婚姻人寿保险的多状态模型计算婚姻反向年金收益的方法。假设配偶的未来寿命是独立的,我们对共同生活状态和最后一次生存状态下的婚姻反向年金合同产生的概率结构和现金流进行了建模。通常情况下,假设利率是恒定的,并且多年不变。这不是一个现实的假设。因此,本文的目的是在利率是一个随机过程或恒定利率的模糊数模型的假设下计算收益。我们对不同利率模型的福利金额(考虑到不同的支付频率)进行了比较分析。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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来源期刊
CiteScore
0.60
自引率
0.00%
发文量
23
审稿时长
24 weeks
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