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>Simpson, Philip</namePart>
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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>
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<topic>Modelos de supervivencia</topic>
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<topic>Solvencia II</topic>
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<topic>Modelo estocástico</topic>
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<topic>Longevidad</topic>
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