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Centro de Documentação

Modelling longevity risk for Solvency II : case study
Recurso electrónico / electronic resource
MAP20140021192
Silverman, Stuart ‌
Modelling longevity risk for Solvency II : case study / Stuart Silverman and Philip Simpson. — New York and London : Milliman, 2011
(Research report)
Sumario: 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
1. Modelos de supervivencia ‌. 2. Solvencia II ‌. 3. Modelo estocástico ‌. 4. Longevidad ‌. I. Simpson, Philip ‌. II. Milliman ‌. III. Research report ‌.