Safety margins for unsystematic biometric risk in life and health insurance

DOI10.1080/03461238.2011.618545zbMath1291.91100MaRDI QIDQ2868610

Marcus C. Christiansen

Publication date: 17 December 2013

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.2011.618545

zbMATH Keywords

functional delta method; top-down approach; Hattendorf's theorem; implicit risk loading; valuation basis of first order

Mathematics Subject Classification ID

91G10: Portfolio theory

Related Items

Sensitivity of life insurance reserves via Markov semigroups, Fair dynamic valuation of insurance liabilities: a loss averse convex hedging approach, Multivariate higher order moments in multi-state life insurance, Jump diffusion transition intensities in life insurance and disability annuity, Multistate models in health insurance

Cites Work

• Biometric worst-case scenarios for multi-state life insurance policies
• A sensitivity analysis concept for life insurance with respect to a valuation basis of infinite dimension
• Markov models and Thiele's integral equations for the prospective reserve
• The emergence of profit in life insurance
• Statistische Schwankungszuschläge für biometrische Rechnungsgrundlagen in der Lebensversicherung
• On the Sensitivity of Premiums and Reserves to Changes in Valuation Elements
• Mathematische Methoden der Personenversicherung