Dynamics of solvency risk in life insurance liabilities

DOI10.1080/03461238.2015.1020856zbMATH Open1401.91116OpenAlexW2006847801MaRDI QIDQ4575375FDOQ4575375

Authors: Marcus C. Christiansen, Matthias A. Fahrenwaldt 

Publication date: 13 July 2018

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

Full work available at URL: https://doi.org/10.1080/03461238.2015.1020856

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zbMATH Keywords

Malliavin calculusbackward stochastic differential equationlife insurance risk managementsolvency level

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cited In (4)

• Title not available (Why is that?)
• Life insurance surrender and liquidity risks
• Multi-year analysis of solvency capital in life insurance
• Capital Requirements for Cyber Risk and Cyber Risk Insurance: An Analysis of Solvency II, the U.S. Risk-Based Capital Standards, and the Swiss Solvency Test

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