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"Financial and demographic risk of a portfolio of life insurance policies with stochastic interest rates: Evaluation methods and applications"

DISCUSSIONS OF PAPERS ALREADY PUBLISHED

A few years ago, someone proposed splitting the yield-to-maturity of a coupon bond-which naturally depends on both the interest payments and the difference between selling price and face value-into the sum of a "coupon rate" and a "rate of return on capital gain." As far as I know, this attempt has had no successful conclusion. The reason is rather obvious: It seems impossible to provide decent definitions for the two components that allow them to add up to the right sum. The best one can do is define directly, for instance, the "coupon ...

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