Stress scenario generation for solvency and risk management

DOI10.1080/03461238.2014.971860zbMath1401.91117OpenAlexW1971739796MaRDI QIDQ4575363

Mogens Steffensen, Lars Frederik Brandt Henriksen, Kristian Juul Schomacker, Marcus C. Christiansen

Publication date: 13 July 2018

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

Full work available at URL: https://doi.org/10.1080/03461238.2014.971860

zbMATH Keywords

life insuranceSolvency IIdeterministic controlworst-case scenariomultistate Markov chain

Mathematics Subject Classification ID

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Cites Work

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