In the actuarial literature, it has become common practice to model future capital returns and mortality rates stochastically in order to capture market risk and forecasting risk. Although interest rates often should and mortality rates always have to be non-negative, many authors use stochastic...

In this paper life insurance contracts based on an urn-of-urns model, with age-at-death asobservable variable, are analyzed. Premium payment functions based on the principles of "equivalence on an individual level" and "equivalence on a group level" are compared. Boththe aggregate loss and its...

We use a two factor model of life insurer stock returns to measure interest rate risk at U.S. and U.K. insurers. Our estimates show that interest rate risk among U.S. life insurers increased as interest rates decreased to historically low levels in recent years. For life insurers in the U.K., in...