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Document Details :

Title: Limiting Distribution of the Present Value of a Portfolio
Author(s): PARKER, Gary
Journal: ASTIN Bulletin
Volume: 24    Issue: 1   Date: May 1994   
Pages: 47-60
DOI: 10.2143/AST.24.1.2005080

Abstract :
An approximation of the distribution of the present value of the benefits of a portfolio of temporary insurance contracts is suggested for the case where the size of the portfolio tends to infinity. The model used is the one presented in PARKER (1922b) and involves random interest rates and future lifetimes Some justifications of the approximation are given. Illustrations for hmttmg portfolios of temporary insurance contracts are presented for an assumed Ornstem-Uhlenbeck process for the force of interest.