A parametric model to price a portfolio of single-premium life insurance policies and to decompose its longevity risk
Rosa Ferrentino, Luca Vota
| Year of publication: |
2022
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|---|---|
| Authors: | Ferrentino, Rosa ; Vota, Luca |
| Published in: |
International journal of economics and business research : IJEBR. - Genève [u.a.] : Inderscience Enterprises, ISSN 1756-9869, ZDB-ID 2537709-7. - Vol. 23.2022, 3, p. 368-388
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| Subject: | asset pricing | longevity risk | mathematical methods | risk decomposition | single-premium life insurance policy | Lebensversicherung | Life insurance | Sterblichkeit | Mortality | Risikomodell | Risk model | Portfolio-Management | Portfolio selection | Theorie | Theory | Versicherungsmathematik | Actuarial mathematics | Risiko | Risk | Dekompositionsverfahren | Decomposition method | Risikomanagement | Risk management |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1504/IJEBR.2022.122053 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013253505