Uncertainty on survival probabilities and solvency capital requirement: application to long-term care insurance
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Publication:4576969
DOI10.1080/03461238.2014.925496zbMath1401.91182OpenAlexW1987816332MaRDI QIDQ4576969
Frédéric Planchet, Julien Tomas
Publication date: 11 July 2018
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03461238.2014.925496
long-term care insurancesolvency capital requirementown risk and solvency assessmentrisk of systematic deviationstable risk
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Uses Software
Cites Work
- Managing longevity and disability risks in life annuities with long term care
- Longevity risk in pension annuities with exchange options: the effect of product design
- Affine processes for dynamic mortality and actuarial valuations
- Mortality derivatives and the option to annuitise.
- Application of survival analysis methods to long-term care insurance.
- Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts
- Multidimensional smoothing by adaptive local kernel-weighted log-likelihood: application to long-term care insurance
- The fair valuation problem of guaranteed annuity options: the stochastic mortality environment case
- Calculation of LTC Premiums Based on Direct Estimates of Transition Probabilities
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