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Modelling longevity risk for Solvency II : case study

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<title>Modelling longevity risk for Solvency II</title>
<subTitle>: case study</subTitle>
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<namePart>Silverman, Stuart</namePart>
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<name type="personal" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20140009985">
<namePart>Simpson, Philip</namePart>
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<namePart>Milliman</namePart>
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<issuance>monographic</issuance>
<place>
<placeTerm type="text">New York and London</placeTerm>
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<publisher>Milliman</publisher>
<dateIssued>2011</dateIssued>
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<abstract displayLabel="Summary">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 death</abstract>
<note type="statement of responsibility">Stuart Silverman and Philip Simpson</note>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080614737">
<topic>Modelos de supervivencia</topic>
</subject>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080564254">
<topic>Solvencia II</topic>
</subject>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080586447">
<topic>Modelo estocástico</topic>
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<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080555016">
<topic>Longevidad</topic>
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<classification authority="">6</classification>
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