Risk aggregation and stochastic claims reserving in disability insurance

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      <subfield code="a">Risk aggregation and stochastic claims reserving in disability insurance</subfield>
      <subfield code="c">Boualem Djehiche, Björn Löfdahl</subfield>
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      <subfield code="a">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.</subfield>
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      <subfield code="t">Insurance : mathematics and economics</subfield>
      <subfield code="d">Oxford : Elsevier, 1990-</subfield>
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      <subfield code="g">03/11/2014 Volumen 59 Número 1 - noviembre 2014 , p. 100-108</subfield>
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