Is mortality or interest rate the most important risk in annuity models? A comparison of sensitivity analysis methods
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Publication:2212159
DOI10.1016/j.insmatheco.2020.09.001zbMath1452.91281OpenAlexW3084211659MaRDI QIDQ2212159
Emanuele Borgonovo, Giovanni Rabitti
Publication date: 19 November 2020
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2020.09.001
uncertainty quantificationactuarial mathematical modeldifferential importance measurelocal and global sensitivity methodsrisk contribution of dependent risks
Interest rates, asset pricing, etc. (stochastic models) (91G30) Mathematical geography and demography (91D20) Actuarial mathematics (91G05)
Related Items (5)
Risk allocation through shapley decompositions, with applications to variable annuities ⋮ Tail variance allocation, Shapley value, and the majorization problem ⋮ Optimal portfolio selection with life insurance under subjective survival belief and habit formation ⋮ Sensitivity analysis with \(\chi^2\)-divergences ⋮ Large portfolio losses in a turbulent market
Uses Software
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