Dynamic tonuity : adapting retirement benefits to a changing environment

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<title>Dynamic tonuity : adapting retirement benefits to a changing environment</title>
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<name type="personal" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20260001289">
<namePart>Chen, Yusha</namePart>
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<namePart>Rach, Manuel </namePart>
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<abstract displayLabel="Summary">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.</abstract>
<note type="statement of responsibility">An Chen, Yusha Chen and Manuel Rach</note>
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<topic>Cálculo actuarial</topic>
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<topic>Tontinas</topic>
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<topic>Mortalidad</topic>
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<topic>Gestión de riesgos</topic>
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<title>Astin bulletin</title>
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<publisher>Belgium : ASTIN and AFIR Sections of the International Actuarial Association</publisher>
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<identifier type="issn">0515-0361</identifier>
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<text>12/05/2025 Volume 55 Issue 2 - may 2025 , p. 352 -373</text>
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