Centro de Documentacion de Fundación MAPFRE - Modelling longevity risk for Solvency II : case study

Publication: New York and London : Milliman, 2011Series: (Research report)Notes: Sumario: Introduction -- 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 deathMateria / lugar / evento: Modelos de supervivencia Solvencia II Modelo estocástico Longevidad Otros autores: Simpson, Philip
Milliman
Secondary series: Research report Other categories: 6