Insurance contracts portfolios with heterogenous parametric life distributions

Research output: Contribution to journalArticlepeer-review


In this paper we consider two portfolios: one of m endowment insurance contracts and one of m whole life insurance contracts. We introduce the majorization order, Schur functions, and parametric families of distribution functions. We assume that the owners of the portfolios are exposed to different members of a known parametric family of distributions and study the effect of this stochastic heterogeneity on the premiums and death benefits of the insurance contracts. We show that the premiums paid in both contracts are Schur concave and that the death benefit awarded in the whole life contract is Schur convex. We provide upper and lower bounds for the premiums and for the death benefit, and compute the bounds for four parametric families of distribution functions used frequently in the Actuarial Sciences.

Original languageEnglish
Pages (from-to)431-447
Number of pages17
JournalScandinavian Actuarial Journal
Issue number6
StatePublished - 1 Nov 2004


  • Convex and concave functions
  • Endowment insurance
  • Force of mortality function
  • Majorization
  • Parametric families of distribution functions
  • Schur convex and concave functions
  • Whole life insurance

ASJC Scopus subject areas

  • Statistics and Probability
  • Economics and Econometrics
  • Statistics, Probability and Uncertainty


Dive into the research topics of 'Insurance contracts portfolios with heterogenous parametric life distributions'. Together they form a unique fingerprint.

Cite this