@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} }