Model points and tail-VaR in life insurance

DOI10.1016/J.INSMATHECO.2015.06.002zbMATH Open1348.91140OpenAlexW1755335296MaRDI QIDQ495485FDOQ495485

Authors: Julien Trufin, Michel Denuit 

Publication date: 14 September 2015

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://dipot.ulb.ac.be/dspace/bitstream/2013/207405/3/DenuitTrufin2015_Diffusion.pdf

Recommendations

• On a family of risk measures based on proportional hazards models and tail probabilities
• A flexible model for actuarial risks under dependence
• After VAR: the theory, estimation, and insurance applications of quantile-based risk measures
• Is it optimal to group policyholders by age, gender, and seniority for BEL computations based on model points?
• Fundamentals of Actuarial Mathematics

zbMATH Keywords

risk measuresconvex orderlife insurancesupermodular ordermodel points

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Inequalities; stochastic orderings (60E15)

Cites Work

• Comparison methods for stochastic models and risks
• Stochastic orders
• Inequalities: theory of majorization and its applications
• Optimal reinsurance and stop-loss order
• Criteria for the Stochastic Ordering of Random Sums, with Actuarial Applications
• Ordering of risks in life insurance
• Iequalities for symmetric sampling plans. I
• A comparison between homogeneous and heterogeneous portfolios.
• Smooth generators of integral stochastic orders.

Cited In (1)

• Grouping of contracts in insurance using neural networks

This page was built for publication: Model points and tail-VaR in life insurance

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q495485)