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q-fin.RM2020
Life insurance policies with cash flows subject to random interest rate changes
David R. Baños
The main purpose of this work is to derive a partial differential equation for the reserves of life insurance liabilities subject to stochastic interest rates where the benefits an…
q-fin.PR2020
Variance and interest rate risk in unit-linked insurance policies
David R. Baños, Marc Lagunas-Merino, Salvador Ortiz-Latorre
One of the risks derived from selling long term policies that any insurance company has, arises from interest rates. In this paper we consider a general class of stochastic volatil…