Biometric Solvency Risk for Portfolios of General Life Contracts. I. The Single-Life Multiple Decrement Case

DOI10.1080/10920277.2010.10597598zbMath1219.91069OpenAlexW2331847441MaRDI QIDQ3088981

Werner Hürlimann

Publication date: 23 August 2011

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2010.10597598

Mathematics Subject Classification ID

Corporate finance (dividends, real options, etc.) (91G50)

Cites Work

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• Risk capital decomposition for a multivariate dependent gamma portfolio
• On the accumulated aggregate surplus of a life portfolio.
• Conditional value-at-risk bounds for compound Poisson risks and a normal approximation
• Knowledge Elicitation of Gompertz' Law of Mortality
• Stochastic Mortality: The Impact on Target Capital
• Analytical Evaluation of Economic Risk Capital for Portfolios of Gamma Risks
• Analytical Bounds for two Value-at-Risk Functionals
• Indicator Function and Hattendorff Theorem

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