The premium of inflation-indexed life insurances for the Romanian life table |
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Authors: | Diana-Andrada Filip Dorina Lazăr |
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Affiliation: | (1) Faculty of Economics and Business Administration, Babeş-Bolyai University, Cluj-Napoca, Romania |
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Abstract: | This paper deals with the pricing process of life insurances that provide an insured sum indexed annually according to the current inflation rate. In these terms we propose an appropriate formula for the discount factor. In order to describe the inflation, we consider a stochastic autoregressive model. We deduce analytical expressions for the mean value and the variance of random variable defined as the present value of 1 unit indexed annually according to the inflation rate, payable over t years, when inflation is generated by an autoregressive process of order one. At the same time, we obtain numerical results for the Romanian life table, regarding the mean and the standard deviation for the actuarial present value of a pure endowment life insurance with the sum insured indexed annually with the inflation rate. |
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Keywords: | Life insurances Discount factor Inflation insurance Autoregressive process |
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