Milevsky, M. A.; Promislow, S. D.; Young, V. R. - In: Journal of Risk & Insurance 73 (2006) 4, pp. 673-686
We provide an overview of how the law of large numbers breaks down when pricing life-contingent claims under stochastic as opposed to deterministic mortality (probability, hazard) rates. In a stylized situation, we derive the limiting per-policy risk and show that it goes to a non-zero constant....