On the Sensitivity of Premiums and Reserves to Changes in Valuation Elements

DOI10.1080/03461230110106408zbMATH Open1039.91043OpenAlexW1997238813MaRDI QIDQ4455903FDOQ4455903

Vladimir Kalashnikov, Ragnar Norberg

Publication date: 16 March 2004

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

Full work available at URL: https://doi.org/10.1080/03461230110106408

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zbMATH Keywords

parameter sensitivityreservesprospective reservepremiumschanges in valuation elementsmulti-state life insurance policy

Mathematics Subject Classification ID

Cited In (15)

• Safety margins for unsystematic biometric risk in life and health insurance
• Some further ideas concerning the interaction between insurance and investment risks
• Sensitivity of life insurance reserves via Markov semigroups
• Differential systems in finance and life insurance
• Natural hedging in continuous time life insurance
• Phase-type representations of stochastic interest rates with applications to life insurance
• Dynamic Greeks
• Prospective and retrospective premium reserves
• Extension of as-if-Markov modeling to scaled payments
• Ragnar Norberg (1945–2017): an actuary of a unique kind
• Extended reduced-form framework for non-life insurance
• Biometric worst-case scenarios for multi-state life insurance policies
• Dynamics of state-wise prospective reserves in the presence of non-monotone information
• A sensitivity analysis concept for life insurance with respect to a valuation basis of infinite dimension
• A sensitivity analysis of typical life insurance contracts with respect to the technical basis

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