longevity risk. A focus of the discussion concerns how robust these models are relative to a variety of inputs: something that … is particularly important in formulating a risk management strategy. On the modeling front much still needs to be done on … robust multipopulation mortality models, and on the risk management front we need to develop a better understanding of what …

risk model CreditRisk+. This allows exact risk aggregation via an efficient numerically stable Panjer recursion algorithm …. Furthermore, the model allows exact (without Monte Carlo simulation error) calculation of risk measures and their sensitivities … with respect to model parameters for P&L distributions such as value-at-risk and expected shortfall. Numerous examples …