SAFE-SIDE SCENARIOS FOR FINANCIAL AND BIOMETRICAL RISK

DOI10.1017/asb.2013.16zbMath1290.91083MaRDI QIDQ5398354

Mogens Steffensen, Marcus C. Christiansen

Publication date: 27 February 2014

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/asb.2013.16

zbMATH Keywords

worst-case scenarios; capital requirement; first-order basis; interest and transition rates

Mathematics Subject Classification ID

90C39: Dynamic programming

91G50: Corporate finance (dividends, real options, etc.)

91G10: Portfolio theory

Related Items

Stress scenario generation for solvency and risk management, Sensitivity of life insurance reserves via Markov semigroups, Early default risk and surrender risk: impacts on participating life insurance policies, A comonotonicity-based valuation method for guaranteed annuity options, Dynamics of state-wise prospective reserves in the presence of non-monotone information

Cites Work

• Multivariate stress scenarios and solvency
• Worst case risk measurement: back to the future?
• The uncertain mortality intensity framework: pricing and hedging unit-linked life insurance contracts
• Biometric worst-case scenarios for multi-state life insurance policies
• A sensitivity analysis concept for life insurance with respect to a valuation basis of infinite dimension
• Worst VaR scenarios with given marginals and measures of association
• Worst VaR scenarios: A remark
• Markov models and Thiele's integral equations for the prospective reserve
• A theory of bonus life insurance
• The Solvency II square-root formula for systematic biometric risk
• Modelling and management of mortality risk: a review
• Lapse rate modeling: a rational expectation approach