Model points and tail-VaR in life insurance

DOI10.1016/J.INSMATHECO.2015.06.002MaRDI QIDQ495485zbMATH OpenOpenAlexFDO

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

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)

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Cites work

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

Cited in

(2)

• Grouping of contracts in insurance using neural networks
• Is it optimal to group policyholders by age, gender, and seniority for BEL computations based on model points?

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