Risk measures versus ruin theory for the calculation of solvency capital for long-term life insurances
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Publication:727663
DOI10.1515/DEMO-2016-0018zbMATH Open1414.91179OpenAlexW2563499983MaRDI QIDQ727663FDOQ727663
Authors: Pierre Devolder, Adrien Lebègue 
Publication date: 20 December 2016
Published in: Dependence Modeling (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/demo-2016-0018
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- Revised version of: ``Solvency requirement for a long-term guarantee: risk measures versus probability of ruin
Cites Work
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- Stochastic finance. An introduction in discrete time
- Affine processes for dynamic mortality and actuarial valuations
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- Fundamental definition of the solvency capital requirement in Solvency II
- Delta-gamma hedging of mortality and interest rate risk
- Revised version of: ``Solvency requirement for a long-term guarantee: risk measures versus probability of ruin
- Calibrating affine stochastic mortality models using term assurance premiums
- Iterated VaR or CTE measures: a false good idea?
- From ruin theory to solvency in non-life insurance
Cited In (18)
- Solvency requirement for long term guarantee: risk measure versus probability of ruin
- Solvency requirement in a unisex mortality model
- Robust evaluation of SCR for participating life insurances under Solvency II
- Deterministic shock vs. stochastic value-at-risk -- an analysis of the Solvency II standard model approach to longevity risk
- Portfolio optimization under Solvency II
- On a decision model for a life insurance company rating
- An option pricing approach for measuring solvency capital requirements in insurance industry
- Uncertainty on survival probabilities and solvency capital requirement: application to long-term care insurance
- Iterated VaR or CTE measures: a false good idea?
- Long-term insurance products and volatility under the Solvency II framework
- Solvency need resulting from reserving risk in a ORSA context
- Solvency measurement of life annuity products
- Measuring profitability of life insurance products under Solvency II
- Multi-year analysis of solvency capital in life insurance
- Solvency II solvency capital requirement for life insurance companies based on expected shortfall
- Surplus participation schemes for life annuities under Solvency II
- Revised version of: ``Solvency requirement for a long-term guarantee: risk measures versus probability of ruin
- Fundamental definition of the solvency capital requirement in Solvency II
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