Factor risk quantification in annuity models
From MaRDI portal
Publication:2513616
Recommendations
- scientific article; zbMATH DE number 2101239
- scientific article; zbMATH DE number 2054514
- Risk allocation through shapley decompositions, with applications to variable annuities
- Ruin probabilities and optimal capital allocation for heterogeneous life annuity portfolios
- Annuity uncertainty with stochastic mortality and interest rates
Cites work
- A Class of Statistics with Asymptotically Normal Distribution
- A capital allocation based on a solvency exchange option
- A quantitative comparison of stochastic mortality models using data from England and Wales and the United States
- A theory of the term structure of interest rates
- AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION
- Capital allocation for credit portfolios with kernel estimators
- Financial and Demographic Risks of a Portfolio of Life Insurance Policies with Stochastic Interest Rates
- Interest rate models: an introduction
- Relative Importance of Risk Sources in Insurance Systems
- Risk capital allocation by coherent risk measures based on one-sided moments.
- Stochastic Analysis of the Interaction Between Investment and Insurance Risks
Cited in
(5)- scientific article; zbMATH DE number 2101239 (Why is no real title available?)
- Analytical calculation of risk measures for variable annuity guaranteed benefits
- Survival analysis of pension scheme mortality when data are missing
- Is mortality or interest rate the most important risk in annuity models? A comparison of sensitivity analysis methods
- scientific article; zbMATH DE number 2054514 (Why is no real title available?)
This page was built for publication: Factor risk quantification in annuity models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2513616)
