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

DOI10.1080/03461230110106408MaRDI QIDQ4455903zbMATH OpenOpenAlexFDO

Authors 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

zbMATH Keywords

changes in valuation elementsmulti-state life insurance policyparameter sensitivitypremiumsprospective reservereserves

Mathematics Subject Classification ID

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Cited in

(24)

• Matrix representations of life insurance payments
• Dynamic Greeks
• Some further ideas concerning the interaction between insurance and investment risks
• Dynamics of state-wise prospective reserves in the presence of non-monotone information
• Extension of as-if-Markov modeling to scaled payments
• Safety margins for unsystematic biometric risk in life and health insurance
• A Markov process interest and mortality model
• A Markov process modeling and analysis of indifference pricing of insurance contracts for home reversion plan for a pair of insureds
• Differential systems in finance and life insurance
• Prospective and retrospective premium reserves
• Sensitivity of life insurance reserves via Markov semigroups
• Markov chain modeling of policyholder behavior in life insurance and pension
• Jump diffusion transition intensities in life insurance and disability annuity
• Extended reduced-form framework for non-life insurance
• Probability distributions of multi-states insurance models under semi-Markov assumptions
• Ragnar Norberg (1945–2017): an actuary of a unique kind
• Aggregate Markov models in life insurance: properties and valuation
• Natural hedging in continuous time life insurance
• Phase-type representations of stochastic interest rates with applications to life insurance
• Biometric worst-case scenarios for multi-state life insurance policies
• Dependent interest and transition rates in life insurance
• Nonlinear reserving and multiple contract modifications in life insurance
• 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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