Analysis of heterogeneous endowment policies portfolios under fractional approximations

Merav Dahan; Esther Frostig; Naftali A. Langberg

doi:10.1016/j.insmatheco.2003.08.001

Analysis of heterogeneous endowment policies portfolios under fractional approximations

Merav Dahan, Esther Frostig, Naftali A. Langberg

Department of Statistics

Research output: Contribution to journal › Article › peer-review

Abstract

In this paper we consider heterogeneous portfolios of endowment insurance policies with a 12 months maturation time. We apply majorization order, Schur functions, and fractional approximations to study the effects of statistical heterogeneity on the premium, on the death benefit and on the survival benefit of the endowment contract. We obtain upper and lower bounds for the premium and the benefits, and under the power approximation we derive some monotone properties of the premium and the benefits.

Original language	English
Pages (from-to)	567-584
Number of pages	18
Journal	Insurance: Mathematics and Economics
Volume	33
Issue number	3
DOIs	https://doi.org/10.1016/j.insmatheco.2003.08.001
State	Published - 19 Dec 2003

Keywords

Bounds
Endowment insurance
Linear mortality approximation
Majorization
Monotonicity
Power approximation
Schur-convex and concave functions

ASJC Scopus subject areas

Statistics and Probability
Economics and Econometrics
Statistics, Probability and Uncertainty

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10.1016/j.insmatheco.2003.08.001

Cite this

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abstract = "In this paper we consider heterogeneous portfolios of endowment insurance policies with a 12 months maturation time. We apply majorization order, Schur functions, and fractional approximations to study the effects of statistical heterogeneity on the premium, on the death benefit and on the survival benefit of the endowment contract. We obtain upper and lower bounds for the premium and the benefits, and under the power approximation we derive some monotone properties of the premium and the benefits.",

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AU - Frostig, Esther

AU - Langberg, Naftali A.

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N2 - In this paper we consider heterogeneous portfolios of endowment insurance policies with a 12 months maturation time. We apply majorization order, Schur functions, and fractional approximations to study the effects of statistical heterogeneity on the premium, on the death benefit and on the survival benefit of the endowment contract. We obtain upper and lower bounds for the premium and the benefits, and under the power approximation we derive some monotone properties of the premium and the benefits.

AB - In this paper we consider heterogeneous portfolios of endowment insurance policies with a 12 months maturation time. We apply majorization order, Schur functions, and fractional approximations to study the effects of statistical heterogeneity on the premium, on the death benefit and on the survival benefit of the endowment contract. We obtain upper and lower bounds for the premium and the benefits, and under the power approximation we derive some monotone properties of the premium and the benefits.

KW - Bounds

KW - Endowment insurance

KW - Linear mortality approximation

KW - Majorization

KW - Monotonicity

KW - Power approximation

KW - Schur-convex and concave functions

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DO - 10.1016/j.insmatheco.2003.08.001

M3 - Article

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SN - 0167-6687

VL - 33

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EP - 584

JO - Insurance: Mathematics and Economics

JF - Insurance: Mathematics and Economics

IS - 3

ER -

Analysis of heterogeneous endowment policies portfolios under fractional approximations

Abstract

Keywords

ASJC Scopus subject areas

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