Centro de Documentacion de Fundación MAPFRE - Risk aggregation and stochastic claims reserving in disability insurance

MAP20150002266

Risk aggregation and stochastic claims reserving in disability insurance / Boualem Djehiche, Björn Löfdahl

Sumario: We 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

En: Insurance : mathematics and economics. - Oxford : Elsevier, 1990- = ISSN 0167-6687. - 03/11/2014 Volumen 59 Número 1 - noviembre 2014 , p. 100-108

1. Matemática del seguro . 2. Cálculo actuarial . 3. Seguro de invalidez . 4. Procesos estocásticos . 5. Simulación Monte Carlo . 6. Técnicas estadísticas multivariantes . I. Löfdahl, Björn . II. Title.