A sensitivity analysis concept for life insurance with respect to a valuation basis of infinite dimension

DOI10.1016/j.insmatheco.2007.07.005zbMath1152.91573OpenAlexW2133301582MaRDI QIDQ998282

Marcus C. Christiansen

Publication date: 28 January 2009

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2007.07.005

zbMATH Keywords

sensitivity analysislife insuranceprospective reservevariations in the technical basisgeneralized gradient vector

Mathematics Subject Classification ID

Related Items

Dynamics of state-wise prospective reserves in the presence of non-monotone information ⋮ Stress scenario generation for solvency and risk management ⋮ Dynamics of solvency risk in life insurance liabilities ⋮ Sensitivity of life insurance reserves via Markov semigroups ⋮ The Solvency II square-root formula for systematic biometric risk ⋮ Natural hedging in continuous time life insurance ⋮ Biometric worst-case scenarios for multi-state life insurance policies ⋮ SAFE-SIDE SCENARIOS FOR FINANCIAL AND BIOMETRICAL RISK ⋮ Safety margins for unsystematic biometric risk in life and health insurance

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