Best estimate calculations of savings contracts by closed formulas: application to the ORSA

DOI10.1007/S13385-014-0086-ZMaRDI QIDQ487620zbMATH OpenOpenAlexFDO

Authors François Bonnin, Frédéric Planchet, Marc Juillard

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

Mathematics Subject Classification ID

Recommendations

• Best-estimate claims reserves in incomplete markets
• A two-account model of pension saving contracts
• scientific article; zbMATH DE number 1093216
• Solvency need resulting from reserving risk in a ORSA context
• On a class of approximative computation methods in the individual risk model

Cites work

• A Lévy process-based framework for the fair valuation of participating life insurance contracts
• Dynamic asset allocation under VaR constraint with stochastic interest rates
• 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

Cited in

(4)

• 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
• Is it optimal to group policyholders by age, gender, and seniority for BEL computations based on model points?
• Multi-year analysis of solvency capital in life insurance

Describes a project that uses

Uses Software

• R

This page was built for publication: Best estimate calculations of savings contracts by closed formulas: application to the ORSA

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q487620)