Abstract:
This article discusses Zillmer’s reserve in term of life insurance by using
Rendleman-Bartter interest model. Interest rate model of Rendleman-Bartter is
a lognormally distributed equilibrium one factor interest rate model and is
expressed by stochastic differential equations that follow the Ito’s process. Interest
rate models of Rendleman-Bartter has parameters and to be estimated. To
determine the parameter estimations is used MLE (maximum likelihood estimation)
and then followed by a numerical approach using Newton-Raphson method. Then
Makeham distribution is used to evaluate the life annuity, single premium and
annual premium.