On the optimal product mix in life insurance companies using conditional value at risk
type: Item
instance of: scholarly article
title: On the optimal product mix in life insurance companies using conditional value at risk
zbMATH Open document ID: 1231.91244
author: Jennifer L. Wang
author: Larry Y. Tzeng
author: Jeffrey Tsai
published in: Insurance Mathematics \& Economics
publication date: 2012-02-10T00:00:00Z
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 91G10
zbMATH DE Number: 6004688
zbMATH Keywords: systematic mortality risk
zbMATH Keywords: product mix
zbMATH Keywords: natural hedging
zbMATH Keywords: parameter risk
zbMATH Keywords: conditional var
MaRDI profile type: Publication
full work available at URL: j.insmatheco.2009.10.006
OpenAlex ID: W2152662609
cites work: Coherent measures of risk
cites work: Affine processes for dynamic mortality and actuarial valuations
cites work: A Poisson log-bilinear regression approach to the construction of projected lifetables.
cites work: A discussion of parameter and model uncertainty in insurance
cites work: Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk
cites work: Natural Hedging of Life and Annuity Mortality Risks
cites work: Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts
cites work: Valuation and hedging of life insurance liabilities with systematic mortality risk
cites work: On convex principles of premium calculation
cites work: Evaluating and extending the Lee\,-\,Carter model for mortality forecasting: bootstrap confidence interval
cites work: Evaluating the performance of Gompertz, Makeham and Lee-Carter mortality models for risk management with unit-linked contracts
cites work: Mortality derivatives and the option to annuitise.
cites work: Lee-Carter mortality forecasting with age-specific enhancement.
cites work: Affine stochastic mortality
DOI: 10.1016/J.INSMATHECO.2009.10.006
description: scientific article; zbMATH DE number 6004688