Worst-case actuarial calculations consistent with single- and multiple-decrement life tables

DOI10.1016/J.INSMATHECO.2012.10.002MaRDI QIDQ2252273zbMATH OpenOpenAlexFDO

Authors Marcus C. Christiansen, Michel Denuit

Publication date 16 July 2014

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

Full work available at URL https://cdn.uclouvain.be/public/Exports%20reddot/stat/documents/DP_2012_27_denuit.pdf

zbMATH Keywords

first-order life tablesfractional age assumptionslife insurancemultistate models

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited in

(2)

• Stress scenario generation for solvency and risk management
• Biometric worst-case scenarios for multi-state life insurance policies

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