Dynamic tonuity : adapting retirement benefits to a changing environment

<?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xsi:schemaLocation="http://www.loc.gov/MARC21/slim http://www.loc.gov/standards/marcxml/schema/MARC21slim.xsd">
  <record>
    <leader>00000cab a2200000   4500</leader>
    <controlfield tag="001">MAP20260001715</controlfield>
    <controlfield tag="003">MAP</controlfield>
    <controlfield tag="005">20260202103211.0</controlfield>
    <controlfield tag="008">260130e20250512bel|||p      |0|||b|eng d</controlfield>
    <datafield tag="040" ind1=" " ind2=" ">
      <subfield code="a">MAP</subfield>
      <subfield code="b">spa</subfield>
      <subfield code="d">MAP</subfield>
    </datafield>
    <datafield tag="084" ind1=" " ind2=" ">
      <subfield code="a">6</subfield>
    </datafield>
    <datafield tag="100" ind1=" " ind2=" ">
      <subfield code="0">MAPA20080649999</subfield>
      <subfield code="a">Chen, An</subfield>
    </datafield>
    <datafield tag="245" ind1="1" ind2="0">
      <subfield code="a">Dynamic tonuity : adapting retirement benefits to a changing environment</subfield>
      <subfield code="c">An Chen, Yusha Chen and Manuel Rach</subfield>
    </datafield>
    <datafield tag="520" ind1=" " ind2=" ">
      <subfield code="a">This paper introduces a conditional version of the higher-moment (HM) coherent risk measure, called CoHM, which incorporates information from an observable external factor when evaluating extreme risks. They study how this measure behaves under weak contagion at very high confidence levels, and we apply our results to the special case of the conditional Haezendonck-Goovaerts risk measure (CoHG). They also provide numerical examples to check how accurate the asymptotic formulas are and to explore how sensitive the CoHG risk contribution is to changes in model parameters. Finally, based on the asymptotic results in the Fréchet case, we propose an extrapolation-based estimator for CoHM and support it with simulation evidence.</subfield>
    </datafield>
    <datafield tag="650" ind1=" " ind2="4">
      <subfield code="0">MAPA20080602437</subfield>
      <subfield code="a">Matemática del seguro</subfield>
    </datafield>
    <datafield tag="650" ind1=" " ind2="4">
      <subfield code="0">MAPA20080579258</subfield>
      <subfield code="a">Cálculo actuarial</subfield>
    </datafield>
    <datafield tag="650" ind1=" " ind2="4">
      <subfield code="0">MAPA20080549206</subfield>
      <subfield code="a">Tontinas</subfield>
    </datafield>
    <datafield tag="650" ind1=" " ind2="4">
      <subfield code="0">MAPA20080555306</subfield>
      <subfield code="a">Mortalidad</subfield>
    </datafield>
    <datafield tag="650" ind1=" " ind2="4">
      <subfield code="0">MAPA20250003316</subfield>
      <subfield code="a">Gestión de riesgos</subfield>
    </datafield>
    <datafield tag="650" ind1=" " ind2="4">
      <subfield code="0">MAPA20080597733</subfield>
      <subfield code="a">Modelos estadísticos</subfield>
    </datafield>
    <datafield tag="700" ind1="1" ind2=" ">
      <subfield code="0">MAPA20260001289</subfield>
      <subfield code="a">Chen, Yusha</subfield>
    </datafield>
    <datafield tag="700" ind1="1" ind2=" ">
      <subfield code="0">MAPA20200006633</subfield>
      <subfield code="a">Rach, Manuel </subfield>
    </datafield>
    <datafield tag="710" ind1="2" ind2=" ">
      <subfield code="0">MAPA20100017661</subfield>
      <subfield code="a">International Actuarial Association</subfield>
    </datafield>
    <datafield tag="773" ind1="0" ind2=" ">
      <subfield code="w">MAP20077000420</subfield>
      <subfield code="g">12/05/2025 Volume 55 Issue 2 - may 2025 , p. 352 -373</subfield>
      <subfield code="x">0515-0361</subfield>
      <subfield code="t">Astin bulletin</subfield>
      <subfield code="d">Belgium : ASTIN and AFIR Sections of the International Actuarial Association</subfield>
    </datafield>
  </record>
</collection>