Volume 34, Issue 1 (IJIEPR 2023)                   IJIEPR 2023, 34(1): 1-8 | Back to browse issues page

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Franco-Arbeláez L C, Franco-Ceballos L E, Olivares-Aguayo H A. A Proposal Based on Stochastic Differential Equations for Income. IJIEPR 2023; 34 (1) :1-8
URL: http://ijiepr.iust.ac.ir/article-1-1593-en.html
A Proposal Based on Stochastic Differential Equations for Income
Luis Ceferino Franco-Arbeláez 1, Luis Eduardo Franco-Ceballos2 , Héctor Alonso Olivares-Aguayo3
1- Instituto Tecnológico Metropolitano , luis.lfranco@gmail.com
2- Instituto Tecnológico Metropolitano.
3- Universidad La Salle México
Abstract:   (2064 Views)
Previous work has highlighted the need to apply stochastic modeling to understand the dynamics of phenomena occurring in the insurance industry. In this paper, for life insurance and applying a stochastic approach under efficient markets, we use survival probabilities and stochastic differential equations to model the actuarial reserve, changes in the constituted actuarial reserve, and estimated income over time. We present an application, sensitivity analysis, and discussion of the results using United States life tables.
 
Keywords: Life insurance, actuarial science, stochastic processes, Brownian motion.
Full-Text [PDF 1093 kb]   (928 Downloads)    
Type of Study: Research | Subject: Simulation & Stochastic Models
Received: 2022/09/9 | Accepted: 2022/10/19 | Published: 2023/03/10
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