| LDR | | | 00000cab a2200000 4500 |
| 001 | | | MAP20140003525 |
| 003 | | | MAP |
| 005 | | | 20140204173655.0 |
| 008 | | | 140127e20131202esp|||p |0|||b|spa d |
| 040 | | | $aMAP$bspa$dMAP |
| 084 | | | $a7 |
| 245 | 0 | 0 | $aMortality portfolio risk management$cSamuel H. Cox...[et.al] |
| 520 | | | $aWe provide a new method, the MV+CVaR approach, for managing unexpected mortality changes underlying annuities and life insurance. The MV+CVaR approach optimizes the meanvariance trade-off of an insurer's mortality portfolio, subject to constraints on downside risk. We apply the method of moments and the maximum entropy method to analyze the efficiency of MV+CVaR mortality portfolios relative to traditional Markowitz meanvariance portfolios. Our numerical examples illustrate the superiority of the MV+CVaR approach in mortality risk management and shed new light on natural hedging effects of annuities and life insurance. |
| 773 | 0 | | $wMAP20077000727$tThe Journal of risk and insurance$dNueva York : The American Risk and Insurance Association, 1964-$x0022-4367$g02/12/2013 Volumen 80 Número 4 - diciembre 2013 |
| 856 | | | $yMÁS INFORMACIÓN$umailto:centrodocumentacion@fundacionmapfre.org?subject=Consulta%20de%20una%20publicaci%C3%B3n%20&body=Necesito%20m%C3%A1s%20informaci%C3%B3n%20sobre%20este%20documento%3A%20%0A%0A%5Banote%20aqu%C3%AD%20el%20titulo%20completo%20del%20documento%20del%20que%20desea%20informaci%C3%B3n%20y%20nos%20pondremos%20en%20contacto%20con%20usted%5D%20%0A%0AGracias%20%0A |
