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Recent computational advances allow investment managers to search for profitable investment strategies. In many instances, that search involves a pseudo-mathematical argument, which is spuriously validated through a simulation of its historical performance (also called backtest). We prove that high performance is easily achievable after backtesting a(More)
• The paper is concerned with the evaluation of life insurance surplus. • A methodology to study stochastic behavior of surplus is proposed. • The methodology is illustrated on homogeneous portfolios of life insurance policies. • The analysis is done in the environment of stochastic mortality experience and interest rates. JEL classification: IB10 IM12 IM13(More)
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