Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Life insurance policies with cash flows subject to random interest rate
  changes   The main purpose of this work is to derive a partial differential equation
for the reserves of life insurance liabilities subject to stochastic interest
rates where the benefits and premiums depend directly on changes in the
interest rate curve. In particular, we allow the payment streams to depend on
the performance of an overnight technical interest rate, making them stochastic
as well. This opens up for considering new types of contracts based on the
performance of the insurer's returns on their own investments. We provide
explicit solutions for the reserves when the premiums and benefits vary
according to interest rate levels or averages under the Vasicek model and
conduct some simulations computing reserve surfaces numerically. We also give
an example of a reinsurance treaty taking over pension payments when the
insurer's average returns fall under some specified threshold.

11
The categories of this paper are: hep-lat
23
The categories of this paper are: solv-int
28
The categories of this paper are: alg-geom
2
The categories of this paper are: math
13
The categories of this paper are: quant-ph
12
The categories of this paper are: nucl-th
34
The categories of this paper are: chem-ph
3
The categories of this paper are: physics
14
The categories of this paper are: math-ph
24
The categories of this paper are: dg-ga
21
The categories of this paper are: adap-org
0
The categories of this paper are: hep-ph
31
The categories of this paper are: ao-sci
27
The categories of this paper are: comp-gas
32
The categories of this paper are: atom-ph
22
The categories of this paper are: chao-dyn