Best estimate calculations of savings contracts by closed formulas: application to the ORSA
From MaRDI portal
Publication:487620
DOI10.1007/s13385-014-0086-zzbMath1304.91093MaRDI QIDQ487620
Marc Juillard, François Bonnin, Frédéric Planchet
Publication date: 22 January 2015
Published in: European Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s13385-014-0086-z
Related Items
Market inconsistencies of market-consistent European life insurance economic valuations: pitfalls and practical solutions, Robust evaluation of SCR for participating life insurances under Solvency II, Multi-year analysis of solvency capital in life insurance, Is it optimal to group policyholders by age, gender, and seniority for BEL computations based on model points?
Uses Software
Cites Work
- Financial modeling, actuarial valuation and solvency in insurance
- Interest rate models -- theory and practice. With smile, inflation and credit
- Measuring uncertainty of solvency coverage ratio in ORSA for non-life insurance
- Dynamic asset allocation under VaR constraint with stochastic interest rates
- A Lévy process-based framework for the fair valuation of participating life insurance contracts