SOLVENCY MEASUREMENT OF LIFE ANNUITY PRODUCTS

DOI10.1142/S0219024922500030zbMath1484.91381OpenAlexW4212789012MaRDI QIDQ5066300

Pierre Devolder, Pauline Ngugnie Diffouo

Publication date: 29 March 2022

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024922500030

zbMATH Keywords

sensitivity analysisinterest rate risklongevity risklife annuitysolvency capitalequity risk

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Revised version of: ``Solvency requirement for a long-term guarantee: risk measures versus probability of ruin
• Individual post-retirement longevity risk management under systematic mortality risk
• On the Calculation of the Solvency Capital Requirement Based on Nested Simulations
• Iterated VaR or CTE measures: A false good idea?

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