Modelling of Life Assurance Reserve with a Positive Feedback Loop

Authors

  • Андрей Алексеевич Кудрявцев St. Petersburg State University, 7–9, Universitetskaya nab., St. Petersburg, 199034, Russian Federation https://orcid.org/0000-0001-7722-8044
  • Анна Андреевна Вдовина St. Petersburg State University, 7–9, Universitetskaya nab., St. Petersburg, 199034, Russian Federation

Abstract

The classical models of life assurance reserve are based on some specific assumptions about interest rate proceeding. In particular, constant interest rates are often supposed. Wider assumptions are discussed in this paper. They are assumed to be dependent on the value of reserve itself. The larger reserve, the better conditions for investments are offered (including the higher interest rates). Some useful estimators generalising the classical approach are derived and studied in this paper.

Keywords:

life assurance reserve, Thiele differential equations, variable interest rates

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Author Biographies

Андрей Алексеевич Кудрявцев, St. Petersburg State University, 7–9, Universitetskaya nab., St. Petersburg, 199034, Russian Federation

кандидат экономических наук, доцент

Анна Андреевна Вдовина, St. Petersburg State University, 7–9, Universitetskaya nab., St. Petersburg, 199034, Russian Federation

ассистент

References

Литература на русском языке

Бауэрс Н. Актуарная математика / Пер. с англ. М.: Янус-К, 2001. 656 с.

Валдайцев С. В. Оценка интеллектуальной собственности. М.: Экономика, 2009. 471 с.

Кудрявцев А. А. Демографические основы страхования жизни. СПб.: Институт страхования, 1998. 237 с.

Мельников А. В. О единстве количественных методов расчетов в финансах и страховании // Труды МИАН. 2002. Т. 237. С. 57–79.


References in Latin Alphabet

Booth P. et al. Modern Actuarial Theory and Practice. London: Chapman&Hall/CRC, 1999. 716 p.

Elton E.J. et al. Modern Portfolio Theory and Investment Management: 7th ed. Hoboken: Wiley, 2007. 728 p.

Understanding Actuarial Management: the actuarial control cycle / Ed. by C. Bellis, J. Shepherd and R. Lyon. Sydney: Institute of Actuaries of Australia, 2003. 462 p.


Translation of references in Russian into English

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Published

2010-09-30

How to Cite

Кудрявцев, А. А., & Вдовина, А. А. (2010). Modelling of Life Assurance Reserve with a Positive Feedback Loop. St Petersburg University Journal of Economic Studies, (3), 057–065. Retrieved from https://economicsjournal.spbu.ru/article/view/3105

Issue

No. 3 (2010)

Section

Finance, Credit, Insurance

License

Articles of the St Petersburg University Journal of Economic Studies are open access distributed under the terms of the License Agreement with Saint Petersburg State University, which permits to the authors unrestricted distribution and self-archiving free of charge.