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From regulatory life tables to stochastic mortality projections : the exponential decline model
Denuit, Michel; Trufin, Julien - In: Insurance / Mathematics & economics 71 (2016), pp. 295-303
Persistent link: https://www.econbiz.de/10011630848
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Comonotonic approximations of risk measures for variable annuity guaranteed benefits with dynamic policyholder behavior
Feng, Runhuan; Jing, Xiaochen; Dhaene, Jan - 2015
The computation of various risk metrics is essential to the quantitative risk management of variable annuity guaranteed … produce closed-form approximation of the risk measures for variable annuity guaranteed benefits. The techniques are further … developed in this paper to address in a systematic way risk measures for death benefits with the consideration of dynamic …
Persistent link: https://www.econbiz.de/10010464782
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Longevity risk measurement of life annuity products
Diffouo, Pauline M. Ngugnie; Devolder, Pierre - In: Risks : open access journal 8 (2020) 1/31, pp. 1-16
This paper captures and measures the longevity risk generated by an annuity product. The longevity risk is materialized … the solvency capital (SC) of an insurer selling such a product within a single risk setting for three different life … annuity products. Within the Solvency II framework, we capture the mortality of policyholders by the mean of the Hull …
Persistent link: https://www.econbiz.de/10012203435
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On inequalities for moments and the covariance of monotone functions
Schmidt, Klaus D. - In: Insurance / Mathematics & economics 55 (2014), pp. 91-95
Persistent link: https://www.econbiz.de/10010366203
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Is mortality or interest rate the most important risk in annuity models? : a comparison of sensitivity analysis methods
Rabitti, Giovanni; Borgonovo, Emanuele - In: Insurance / Mathematics & economics 95 (2020), pp. 48-58
Persistent link: https://www.econbiz.de/10012419238
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Bounds for concave distortion risk measures for sums of risks
Campana, Antonella; Ferretti, Paola - In: Mathematical and statistical methods in insurance and …, (pp. 43-51). 2008
Persistent link: https://www.econbiz.de/10003837114
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Comonotonic approximations of risk measures for variable annuity guaranteed benefits with dynamic policyholder behavior
Feng, Runhuan; Jing, Xiaochen; Dhaene, Jan - 2015
Persistent link: https://www.econbiz.de/10011418916
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Size-biased risk measures of compound sums
Denuit, Michel - In: North American actuarial journal : NAAJ ; leading the … 24 (2020) 4, pp. 512-532
Persistent link: https://www.econbiz.de/10012387651
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Comonotonic Approximations of Risk Measures for Variable Annuity Guaranteed Benefits with Dynamic Policyholder Behavior
Feng, Runhuan - 2015
The computation of various risk metrics is essential to the quantitative risk management of variable annuity guaranteed … produce closed-form approximation of the risk measures for variable annuity guaranteed benefits. The techniques are further … developed in this paper to address in a systematic way risk measures for death benefits with the consideration of dynamic …
Persistent link: https://www.econbiz.de/10013026457
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Model points and Tail-VaR in life insurance
Denuit, Michel; Trufin, Julien - In: Insurance / Mathematics & economics 64 (2015), pp. 268-272
Persistent link: https://www.econbiz.de/10011398062