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Modelling longevity risk for Solvency II : case study

Recurso electrónico / electronic resource
Seção: Documentos eletrônicos
Título: Modelling longevity risk for Solvency II : case study / Stuart Silverman and Philip SimpsonAutor: Silverman, Stuart
Publicação: New York and London : Milliman, 2011Série: (Research report)Notas: 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 deathMateria / lugar / evento: Modelos de supervivencia Solvencia II Modelo estocástico Longevidad Otros autores: Simpson, Philip
Milliman
Serie secundária: Research report Outras classificações: 6