A comparison of risk transfer strategies for a portfolio of life annuities based on RORAC

DOI10.1080/02664763.2016.1238047OpenAlexW2532626594MaRDI QIDQ5138672

Fabio Baione, Paolo De Angelis, Agostino Tripodi, Massimiliano Menzietti

Publication date: 4 December 2020

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02664763.2016.1238047

zbMATH Keywords

ruin probabilitylongevity risksurvivor swapsreinsurance programsreturn on risk adjusted capital

Mathematics Subject Classification ID

Functional inequalities, including subadditivity, convexity, etc. (39B62)

Related Items (1)

Assessment of longevity risk: credibility approach

Cites Work

• Unnamed Item
• Modeling and Forecasting U.S. Mortality
• Optimal reinsurance under general risk measures
• A Poisson log-bilinear regression approach to the construction of projected lifetables.
• Optimal reinsurance programs: an optimal combination of several reinsurance protections on a heterogeneous insurance portfolio.
• A Theory of the Term Structure of Interest Rates
• Bootstrapping the Poisson log-bilinear model for mortality forecasting

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