Risk and Savings Contracts

Transactions of the 27th International Congress of Actuaries, March 17-22, 2002

42 Pages Posted: 2 Mar 2006

See all articles by Jan Dhaene

Jan Dhaene

Katholieke Universiteit Leuven

H. Wolthuis

University of Amsterdam - Department of Quantitative Economics (KE)

Michel Denuit

Catholic University of Louvain

Marc Goovaerts

Catholic University of Leuven (KUL) - Department of Economics

Abstract

Following the "time-capital" approach of De Vylder (1997) it is shown that a fair life insurance contract can uniquely be separated into a fair savings and a fair pure risk contract. It is also shown that a fair life insurance contract can be separated into a fair associated stochastic savings contract and a fair associated pure risk contract.

Suggested Citation

Dhaene, Jan and Wolthuis, H. and Denuit, Michel and Goovaerts, Marc, Risk and Savings Contracts. Transactions of the 27th International Congress of Actuaries, March 17-22, 2002 , Available at SSRN: https://ssrn.com/abstract=886308

Jan Dhaene (Contact Author)

Katholieke Universiteit Leuven ( email )

Naamsestraat 69
Leuven, 3000
Belgium

H. Wolthuis

University of Amsterdam - Department of Quantitative Economics (KE) ( email )

Roetersstraat 11
Amsterdam, 1018 WB
Netherlands

Michel Denuit

Catholic University of Louvain ( email )

Place Montesquieu, 3
B-1348 Louvain-la-Neuve, 1348
Belgium

Marc Goovaerts

Catholic University of Leuven (KUL) - Department of Economics ( email )

Leuven, B-3000
Belgium
+32 0 16 32 7446 (Phone)
+32 0 16 32 3740 (Fax)

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