A sensitivity analysis concept for life insurance with respect to a valuation basis of infinite dimension
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Publication:998282
DOI10.1016/J.INSMATHECO.2007.07.005zbMATH Open1152.91573OpenAlexW2133301582MaRDI QIDQ998282FDOQ998282
Authors: Marcus C. Christiansen 
Publication date: 28 January 2009
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2007.07.005
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- Markov Chain Models in Life Insurance
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- Mathematische Methoden der Personenversicherung
- 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
- Lidstone in the continuous case
- On the Sensitivity of Premiums and Reserves to Changes in Valuation Elements
- Uncertainty in mortality projections: an actuarial perspective
- Addendum to ``A third-order optimum property of the maximum likelihood estimator
- Measuring the effect of mortality improvements on the cost of annuities
Cited In (12)
- Title not available (Why is that?)
- Stress scenario generation for solvency and risk management
- Dynamics of solvency risk in life insurance liabilities
- Safety margins for unsystematic biometric risk in life and health insurance
- The Solvency II square-root formula for systematic biometric risk
- Sensitivity of life insurance reserves via Markov semigroups
- SAFE-SIDE SCENARIOS FOR FINANCIAL AND BIOMETRICAL RISK
- Natural hedging in continuous time life insurance
- Fast sensitivity computations for Monte Carlo valuation of pension funds
- Biometric worst-case scenarios for multi-state life insurance policies
- Dynamics of state-wise prospective reserves in the presence of non-monotone information
- A sensitivity analysis of typical life insurance contracts with respect to the technical basis
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