Model points and tail-VaR in life insurance

DOI10.1016/J.INSMATHECO.2015.06.002zbMath1348.91140OpenAlexW1755335296MaRDI QIDQ495485

Julien Trufin, Michel M. Denuit

Publication date: 14 September 2015

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://dipot.ulb.ac.be/dspace/bitstream/2013/207405/3/DenuitTrufin2015_Diffusion.pdf

zbMATH Keywords

risk measureslife insurancesupermodular orderconvex ordermodel points

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (1)

Grouping of contracts in insurance using neural networks

Cites Work

• Unnamed Item
• Stochastic orders
• Ordering of risks in life insurance
• Iequalities for symmetric sampling plans. I
• Optimal reinsurance and stop-loss order
• A comparison between homogeneous and heterogeneous portfolios.
• Smooth generators of integral stochastic orders.
• Criteria for the Stochastic Ordering of Random Sums, with Actuarial Applications
• Inequalities: theory of majorization and its applications

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