Risk and Savings Contracts
Transactions of the 27th International Congress of Actuaries, March 17-22, 2002
42 Pages Posted: 2 Mar 2006
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.
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