Template-type: ReDIF-Paper 1.0
Author-Name: Miguel Arturo Usábel Rodrigo
Author-Workplace-Name:
 Facultad de Ciencias Económicas y Empresariales. Universidad Complutense de Madrid.
Title: Insurance considering a new stochastic model for the discount factor
Abstract: In many empirical situations (e.g.:Libor), the rate of interest will remain fixed at a certain level(random instantaneous 
	rate &i) for a random period of time(ti) until a new random rate should be considered, &i+ 1, that will remain for ti+ 1, 
	waiting time untill the next change in the rate of interest. Three models were developed using the approach cited aboye for 
	random rate of interest and random waiting times between changes in the rate of interest. Using easy integral transforms 
	(Laplace and Fourier) we will be able to ca1culate the moments of the probability function of the discount factor, V(t),
	and even its c.dJ. The approach will also be extended to the calculation of the expected value(net premium) and variance 
	of a term insurance and we will get its c.d.f., something not very common in actuarialliterature due to its complexity, 
	but very useful when the law of large numbers cannot be applied and consequently use normal approximations.
Keywords: Procesos estocásticos; Seguros; Modelos matemáticos.
Length: 14 pages 
Creation-Date: 1997
Number: 97-19 
X-File-Ref: http://america.sim.ucm.es/repec/ucm/ref/doctra97-19.txt
File-URL: https://eprints.ucm.es/id/eprint/27018/1/9719.pdf
File-Format: Application/pdf
Handle: RePEc:ucm:doctra:97-19