Uncertain terms

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Collection: Articles
Title: Uncertain terms / Peter Murphy, Marco Radun
Author: Murphy, Peter
Notes: Sumario: Accurate proxy models form a key element of life insurance companies' internal models, and measuring and correcting the errors in proxy models has become a key area of focus for companies and the regulator. We analysed proxy model errors for the purpose of developing an adjustment to fi nal capital requirements, and found that the average error of the proxy model in a range of scenarios around the 99.5th percentile of the loss distribution is a surprisingly good estimate of the impact of the errors on capital requirements even when the errors get quite big
Related records: En: The Actuary : the magazine of the Institute & Faculty of Actuaries. - London : Redactive Publishing, 2019-. - 01/03/2021 Número 2 - marzo 2021 , p. 24-25
Materia / lugar / evento: Predicciones estadísticas Seguro de vida Modelos estadísticos
Other authors: Radun, Marco
Other categories: 6
Rights: In Copyright (InC): http://rightsstatements.org/vocab/InC/1.0/
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