@article { ISI:000337852600001,
	title = {Stochastic analysis of life insurance surplus},
	journal = {INSURANCE MATHEMATICS \& ECONOMICS},
	volume = {56},
	year = {2014},
	month = {MAY},
	pages = {1-13},
	publisher = {ELSEVIER SCIENCE BV},
	type = {Article},
	address = {PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS},
	abstract = {The aim of the paper is to examine the behavior of insurance surplus over time for a portfolio of homogeneous life policies. We distinguish between stochastic and accounting surpluses and derive their first two moments. A recursive formula is proposed for calculating the distribution function of the accounting surplus. We then examine the probability that the accounting surplus becomes negative in a given insurance year. Numerical examples illustrate the results for portfolios of temporary and endowment life policies assuming a conditional AR(1) process for the rates of return. (C) 2014 Elsevier B.V. All rights reserved.},
	keywords = {AR(1) process, Distribution function, Insurance surplus, Stochastic rates of return},
	issn = {0167-6687},
	doi = {10.1016/j.insmatheco.2014.02.006},
	author = {Nolde, Natalia and Parker, Gary}
}
