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Modelling longevity risk for Solvency II : case study

Recurso electrónico / electronic resource
MARC record
Tag12Value
LDR  00000cam a22000004b 4500
001  MAP20140021192
003  MAP
005  20140610095230.0
008  140610s2011 usa|||| ||| ||eng d
040  ‎$a‎MAP‎$b‎spa‎$d‎MAP
084  ‎$a‎6
1001 ‎$0‎MAPA20140009978‎$a‎Silverman, Stuart
24500‎$a‎Modelling longevity risk for Solvency II‎$b‎: case study‎$c‎Stuart Silverman and Philip Simpson
260  ‎$a‎New York and London‎$b‎Milliman‎$c‎2011
4900 ‎$a‎Research report
520  ‎$a‎Introduction -- Description of hypothetical portfolio and best estimate assumptions -- Discussion of stochastic projection methodology and volatility paremeters -- Solvency II valuation methodology and results: best estimate liability; standard formula approach; economic capital approach: cost of volatility; internal model research -- Conclusion -- Appendix: hypothetical portfoloio characteristics; discount interest rates; stochastic modelling: randomized dates of death; future mortality improvement trend volatility; cause of death
650 4‎$0‎MAPA20080614737‎$a‎Modelos de supervivencia
650 4‎$0‎MAPA20080564254‎$a‎Solvencia II
650 4‎$0‎MAPA20080586447‎$a‎Modelo estocástico
650 4‎$0‎MAPA20080555016‎$a‎Longevidad
7001 ‎$0‎MAPA20140009985‎$a‎Simpson, Philip
7102 ‎$0‎MAPA20090026926‎$a‎Milliman
830 0‎$0‎MAPA20080509187‎$a‎Research report