Risk aggregation and stochastic claims reserving in disability insurance
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| Tag | 1 | 2 | Value |
|---|---|---|---|
| LDR | 00000cab a2200000 4500 | ||
| 001 | MAP20150002266 | ||
| 003 | MAP | ||
| 005 | 20150128165148.0 | ||
| 008 | 150113e20141103esp|||p |0|||b|spa d | ||
| 040 | $aMAP$bspa$dMAP | ||
| 084 | $a6 | ||
| 100 | 1 | $0MAPA20150002778$aDjehiche, Boualem | |
| 245 | 1 | 0 | $aRisk aggregation and stochastic claims reserving in disability insurance$cBoualem Djehiche, Björn Löfdahl |
| 520 | $aWe consider a large, homogeneous portfolio of life or disability annuity policies. The policies are assumed to be independent conditional on an external stochastic process representing the economicdemographic environment. Using a conditional law of large numbers, we establish the connection between claims reserving and risk aggregation for large portfolios. Further, we derive a partial differential equation for moments of present values. Moreover, we show how statistical multi-factor intensity models can be approximated by one-factor models, which allows for solving the PDEs very efficiently. Finally, we give a numerical example where moments of present values of disability annuities are computed using finite-difference methods and Monte Carlo simulations. | ||
| 650 | 4 | $0MAPA20080602437$aMatemática del seguro | |
| 650 | 4 | $0MAPA20080579258$aCálculo actuarial | |
| 650 | 4 | $0MAPA20080593407$aSeguro de invalidez | |
| 650 | 4 | $0MAPA20080603120$aProcesos estocásticos | |
| 650 | 4 | $0MAPA20080608606$aSimulación Monte Carlo | |
| 650 | 4 | $0MAPA20080632151$aTécnicas estadísticas multivariantes | |
| 700 | 1 | $0MAPA20150005106$aLöfdahl, Björn | |
| 773 | 0 | $wMAP20077100574$tInsurance : mathematics and economics$dOxford : Elsevier, 1990-$x0167-6687$g03/11/2014 Volumen 59 Número 1 - noviembre 2014 , p. 100-108 |