A partial internal model for longevity risk

DOI10.1080/03461238.2013.836561zbMath1398.91334OpenAlexW1975768470MaRDI QIDQ4576802

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

zbMATH Keywords

mortalitySolvency 2Danish longevity benchmarklongevity stresssystematic and unsystematic risk

Mathematics Subject Classification ID

Related Items (8)

From regulatory life tables to stochastic mortality projections: the exponential decline model ⋮ Dynamics of state-wise prospective reserves in the presence of non-monotone information ⋮ Cash flows and policyholder behaviour in the semi-Markov life insurance setup ⋮ Long guarantees with short duration: the rolling annuity ⋮ Estimating absorption time distributions of general Markov jump processes ⋮ Financial position and performance in IFRS 17 ⋮ Experience rating in the classic Markov chain life insurance setting ⋮ THE SAINT MODEL: A DECADE LATER

Uses Software

• Human Mortality

Cites Work

• Unnamed Item
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• Measuring Basis Risk in Longevity Hedges
• Stochastic Mortality: The Impact on Target Capital
• Smoothing and forecasting mortality rates
• Extending Lee–Carter Mortality Forecasting

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