Is mortality or interest rate the most important risk in annuity models? A comparison of sensitivity analysis methods
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Publication:2212159
DOI10.1016/j.insmatheco.2020.09.001zbMath1452.91281MaRDI QIDQ2212159
Emanuele Borgonovo, Giovanni Rabitti
Publication date: 19 November 2020
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2020.09.001
uncertainty quantification; actuarial mathematical model; differential importance measure; local and global sensitivity methods; risk contribution of dependent risks
91G30: Interest rates, asset pricing, etc. (stochastic models)
91D20: Mathematical geography and demography
91G05: Actuarial mathematics
Uses Software