Modelling longevity risk for Solvency II : case study

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<dc:creator>Silverman, Stuart</dc:creator>
<dc:creator>Simpson, Philip</dc:creator>
<dc:creator>Milliman</dc:creator>
<dc:date>2011</dc:date>
<dc:description xml:lang="es">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</dc:description>
<dc:identifier>https://documentacion.fundacionmapfre.org/documentacion/publico/es/bib/147650.do</dc:identifier>
<dc:language>eng</dc:language>
<dc:publisher>Milliman</dc:publisher>
<dc:rights xml:lang="es">InC - http://rightsstatements.org/vocab/InC/1.0/</dc:rights>
<dc:subject xml:lang="es">Modelos de supervivencia</dc:subject>
<dc:subject xml:lang="es">Solvencia II</dc:subject>
<dc:subject xml:lang="es">Modelo estocástico</dc:subject>
<dc:subject xml:lang="es">Longevidad</dc:subject>
<dc:type xml:lang="es">Livros</dc:type>
<dc:title xml:lang="es">Modelling longevity risk for Solvency II : case study</dc:title>
<dc:relation xml:lang="es">Research report</dc:relation>
</rdf:Description>
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