A partial internal model for longevity risk
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Publication:4576802
DOI10.1080/03461238.2013.836561zbMATH Open1398.91334OpenAlexW1975768470MaRDI QIDQ4576802FDOQ4576802
Søren Fiig Jarner, Thomas Møller
Publication date: 10 July 2018
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03461238.2013.836561
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Mathematical geography and demography (91D20) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Cites Work
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- Stochastic Mortality: The Impact on Target Capital
- Deterministic shock vs. stochastic value-at-risk -- an analysis of the Solvency II standard model approach to longevity risk
- Extending Lee–Carter Mortality Forecasting
Cited In (12)
- Experience rating in the classic Markov chain life insurance setting
- From regulatory life tables to stochastic mortality projections: the exponential decline model
- THE SAINT MODEL: A DECADE LATER
- Financial position and performance in IFRS 17
- Cash flows and policyholder behaviour in the semi-Markov life insurance setup
- Computational framework for longevity risk management
- Estimating absorption time distributions of general Markov jump processes
- Individual post-retirement longevity risk management under systematic mortality risk
- Longevity risk: an empirical analysis for life annuity
- Long guarantees with short duration: the rolling annuity
- Dynamics of state-wise prospective reserves in the presence of non-monotone information
- Forecasting Longevity Gains for a Population with Short Time Series Using a Structural SUTSE Model: An Application to Brazilian Annuity Plans
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