Is mortality or interest rate the most important risk in annuity models? : a comparison of sensitivity analysis methods
Giovanni Rabitti, Emanuele Borgonovo
| Year of publication: |
2020
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|---|---|
| Authors: | Rabitti, Giovanni ; Borgonovo, Emanuele |
| Published in: |
Insurance. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 95.2020, p. 48-58
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| Subject: | Uncertainty quantification | Local and global sensitivity methods | Risk contribution of dependent risks | Actuarial mathematical model | Risiko | Risk | Sterblichkeit | Mortality | Sensitivitätsanalyse | Sensitivity analysis | Versicherungsmathematik | Actuarial mathematics | Risikomanagement | Risk management | Theorie | Theory | Risikomodell | Risk model | Finanzmathematik | Mathematical finance | Zins | Interest rate | Risikomaß | Risk measure |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2020.09.001 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012419238