Biometric worst-case scenarios for multi-state life insurance policies

DOI10.1016/j.insmatheco.2010.05.002zbMath1231.91165MaRDI QIDQ661235

Marcus C. Christiansen

Publication date: 10 February 2012

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2010.05.002

zbMATH Keywords

life insurance; Solvency II; calculating on the safe side; demographic risk; first-order basis; prospective reserve; second-order basis; variations in the technical basis; worst-case scenario

Mathematics Subject Classification ID

91D20: Mathematical geography and demography

Related Items

Sensitivity of life insurance reserves via Markov semigroups, SAFE-SIDE SCENARIOS FOR FINANCIAL AND BIOMETRICAL RISK, Multistate models in health insurance, Safety margins for unsystematic biometric risk in life and health insurance

Cites Work

• Unnamed Item
• Unnamed Item
• A sensitivity analysis concept for life insurance with respect to a valuation basis of infinite dimension
• A sensitivity analysis of typical life insurance contracts with respect to the technical basis
• On the application of Thiele's differential equation in life insurance
• Markov models and Thiele's integral equations for the prospective reserve
• The emergence of profit in life insurance
• Some further ideas concerning the interaction between insurance and investment risks
• Lidstone in the continuous case
• On the Sensitivity of Premiums and Reserves to Changes in Valuation Elements
• Markov Chain Models in Life Insurance