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Risk aggregation and stochastic claims reserving in disability insurance

Recurso electrónico / electronic resource
MARC record
Tag12Value
LDR  00000cab a2200000 4500
001  MAP20150002266
003  MAP
005  20150128165148.0
008  150113e20141103esp|||p |0|||b|spa d
040  ‎$a‎MAP‎$b‎spa‎$d‎MAP
084  ‎$a‎6
1001 ‎$0‎MAPA20150002778‎$a‎Djehiche, Boualem
24510‎$a‎Risk aggregation and stochastic claims reserving in disability insurance‎$c‎Boualem Djehiche, Björn Löfdahl
520  ‎$a‎We 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.
650 4‎$0‎MAPA20080602437‎$a‎Matemática del seguro
650 4‎$0‎MAPA20080579258‎$a‎Cálculo actuarial
650 4‎$0‎MAPA20080593407‎$a‎Seguro de invalidez
650 4‎$0‎MAPA20080603120‎$a‎Procesos estocásticos
650 4‎$0‎MAPA20080608606‎$a‎Simulación Monte Carlo
650 4‎$0‎MAPA20080632151‎$a‎Técnicas estadísticas multivariantes
7001 ‎$0‎MAPA20150005106‎$a‎Löfdahl, Björn
7730 ‎$w‎MAP20077100574‎$t‎Insurance : mathematics and economics‎$d‎Oxford : Elsevier, 1990-‎$x‎0167-6687‎$g‎03/11/2014 Volumen 59 Número 1 - noviembre 2014 , p. 100-108