Risk aggregation and stochastic claims reserving in disability insurance

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<title>Risk aggregation and stochastic claims reserving in disability insurance</title>
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<name type="personal" usage="primary" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20150002778">
<namePart>Djehiche, Boualem</namePart>
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<namePart>Löfdahl, Björn</namePart>
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<abstract displayLabel="Summary">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.</abstract>
<note type="statement of responsibility">Boualem Djehiche, Björn Löfdahl</note>
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<topic>Matemática del seguro</topic>
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<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080579258">
<topic>Cálculo actuarial</topic>
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<topic>Seguro de invalidez</topic>
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<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080603120">
<topic>Procesos estocásticos</topic>
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<topic>Simulación Monte Carlo</topic>
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<topic>Técnicas estadísticas multivariantes</topic>
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<title>Insurance : mathematics and economics</title>
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<publisher>Oxford : Elsevier, 1990-</publisher>
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<identifier type="issn">0167-6687</identifier>
<identifier type="local">MAP20077100574</identifier>
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<text>03/11/2014 Volumen 59 Número 1 - noviembre 2014 , p. 100-108</text>
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