Some further ideas concerning the interaction between insurance and investment risks

DOI10.1007/S11857-008-0053-3zbMath1293.91094OpenAlexW1992592451MaRDI QIDQ2511474

Marcus C. Christiansen, Marko Helwich

Publication date: 5 August 2014

Published in: Blätter der DGVFM (Deutsche Gesellschaft für Versicherungs- und Finanzmathematik) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11857-008-0053-3

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Related Items (4)

Mortality options: the point of view of an insurer ⋮ Risk allocation through shapley decompositions, with applications to variable annuities ⋮ Is mortality or interest rate the most important risk in annuity models? A comparison of sensitivity analysis methods ⋮ Biometric worst-case scenarios for multi-state life insurance policies

Cites Work

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• On life insurance reserves in a stochastic mortality and interest rates environment
• On Bonus and Bonus Prognoses in Life Insurance
• Moments of the present value of a portfolio of policies
• On the Sensitivity of Premiums and Reserves to Changes in Valuation Elements
• Financial and Demographic Risks of a Portfolio of Life Insurance Policies with Stochastic Interest Rates
• Interest Rate Risk Management
• Stochastic Analysis of the Interaction Between Investment and Insurance Risks
• Relative Importance of Risk Sources in Insurance Systems
• Interest rate models -- theory and practice
• Uncertainty in mortality projections: an actuarial perspective

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