Applications of central limit theorems for equity-linked insurance

Runhuan Feng*, Yasutaka Shimizu

*この研究の対応する著者

研究成果: Article査読

12 被引用数 (Scopus)

抄録

In both the past literature and industrial practice, it was often implicitly used without any justification that the classical strong law of large numbers applies to the modeling of equity-linked insurance. However, as all policyholders' benefits are linked to common equity indices or funds, the classical assumption of independent claims is clearly inappropriate for equity-linked insurance. In other words, the strong law of large numbers fails to apply in the classical sense. In this paper, we investigate this fundamental question regarding the validity of strong laws of large numbers for equity-linked insurance. As a result, extensions of classical laws of large numbers and central limit theorem are presented, which are shown to apply to a great variety of equity-linked insurance products.

本文言語English
ページ(範囲)138-148
ページ数11
ジャーナルInsurance: Mathematics and Economics
69
DOI
出版ステータスPublished - 2016 7月 1

ASJC Scopus subject areas

  • 統計学および確率
  • 経済学、計量経済学
  • 統計学、確率および不確実性

フィンガープリント

「Applications of central limit theorems for equity-linked insurance」の研究トピックを掘り下げます。これらがまとまってユニークなフィンガープリントを構成します。

引用スタイル