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....

We consider an alternative to the usual credibility premium that arises from squared-error loss, namely, a so-called equitable credibility premium (Promislow and Young, 1999)...

Christofides (1998) studies the proportional hazards (PH) transform ofWang (I 995) and shows that for some parametric families, the PH premiumprinciple reduces to the standard deviation (SD) premium principle...

... In this paper, we consider a Glass of priors obtained by perturbing the one determined nonparametrically, as in Young (1997).

We determine how an individual can use life insurance to meet a bequest goal. We assume that the individual’s consumption is met by an income from a job, pension, life annuity, or Social Security. Then, we consider the wealth that the individual wants to devote towards heirs (separate from any...