Factor risk quantification in annuity models
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Publication:2513616
DOI10.1016/J.INSMATHECO.2014.06.004zbMATH Open1304.91116OpenAlexW2014269299MaRDI QIDQ2513616FDOQ2513616
Authors: Uǧur Karabey, Torsten Kleinow, Andrew J. G. Cairns 
Publication date: 28 January 2015
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2014.06.004
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Cites Work
- A theory of the term structure of interest rates
- A Class of Statistics with Asymptotically Normal Distribution
- Interest rate models: an introduction
- AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION
- Risk capital allocation by coherent risk measures based on one-sided moments.
- A quantitative comparison of stochastic mortality models using data from England and Wales and the United States
- Relative Importance of Risk Sources in Insurance Systems
- A capital allocation based on a solvency exchange option
- Financial and Demographic Risks of a Portfolio of Life Insurance Policies with Stochastic Interest Rates
- Stochastic Analysis of the Interaction Between Investment and Insurance Risks
- Capital allocation for credit portfolios with kernel estimators
Cited In (5)
- Title not available (Why is that?)
- 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
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