Centro de Documentacion de Fundación MAPFRE - Dynamic tonuity : adapting retirement benefits to a changing environment

MAP20260001715

Dynamic tonuity : adapting retirement benefits to a changing environment / An Chen, Yusha Chen and Manuel Rach

Sumario: 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

En: Astin bulletin. - Belgium : ASTIN and AFIR Sections of the International Actuarial Association = ISSN 0515-0361. - 12/05/2025 Volume 55 Issue 2 - may 2025 , p. 352 -373

1. Matemática del seguro . 2. Cálculo actuarial . 3. Tontinas . 4. Mortalidad . 5. Gestión de riesgos . 6. Modelos estadísticos . I. Chen, Yusha . II. Rach, Manuel . III. International Actuarial Association . IV. Título.