SAFE-SIDE SCENARIOS FOR FINANCIAL AND BIOMETRICAL RISK
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Publication:5398354
DOI10.1017/asb.2013.16zbMath1290.91083OpenAlexW3125447296MaRDI QIDQ5398354
Mogens Steffensen, Marcus C. Christiansen
Publication date: 27 February 2014
Published in: ASTIN Bulletin (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/asb.2013.16
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Related Items (5)
Dynamics of state-wise prospective reserves in the presence of non-monotone information ⋮ Stress scenario generation for solvency and risk management ⋮ Sensitivity of life insurance reserves via Markov semigroups ⋮ Early default risk and surrender risk: impacts on participating life insurance policies ⋮ A comonotonicity-based valuation method for guaranteed annuity options
Cites Work
- Multivariate stress scenarios and solvency
- Worst case risk measurement: back to the future?
- The uncertain mortality intensity framework: pricing and hedging unit-linked life insurance contracts
- Biometric worst-case scenarios for multi-state life insurance policies
- A sensitivity analysis concept for life insurance with respect to a valuation basis of infinite dimension
- Worst VaR scenarios with given marginals and measures of association
- Worst VaR scenarios: A remark
- Markov models and Thiele's integral equations for the prospective reserve
- A theory of bonus life insurance
- The Solvency II square-root formula for systematic biometric risk
- Modelling and management of mortality risk: a review
- Lapse rate modeling: a rational expectation approach
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