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One year value at risk for longevity and mortality

Recurso electrónico / electronic resource
Registro MARC
Tag12Valor
LDR  00000cab a2200000 4500
001  MAP20110070601
003  MAP
005  20111214125903.0
008  111202e20111101esp|||p |0|||b|spa d
040  ‎$a‎MAP‎$b‎spa‎$d‎MAP
084  ‎$a‎6
100  ‎$0‎MAPA20090033245‎$a‎Plat, R.
24500‎$a‎One year value at risk for longevity and mortality‎$c‎R. Plat
520  ‎$a‎Upcoming new regulation on regulatory required solvency capital for insurers will be predominantly based on a one-year Value-at-Risk measure. This measure aims at covering the risk of the variation in the projection year as well as the risk of changes in the best estimate projection for future years. This paper addresses the issue how to determine this Value-at-Risk for longevity and mortality risk. Naturally, this requires stochastic mortality rates. In the past decennium. a vast literature on stochastic mortality models has been developed. However, very few of them are suitable for determining the one year Value-at-Risk. This requires a model for mortality trends instead of mortality rates. Therefore. We will introduce a stochastic mortality trend model that fits this purpose. The model is transparent, easy to interpret and based on well known concepts in stochastic mortality modeling. Additionally, we introduce an approximation method based on duration and convexity concepts to apply the stochastic mortality rates to specific insurance portfolios
650 1‎$0‎MAPA20080564254‎$a‎Solvencia II
650 1‎$0‎MAPA20080602437‎$a‎Matemática del seguro
650 1‎$0‎MAPA20090039629‎$a‎Riesgo actuarial
650 1‎$0‎MAPA20080555306‎$a‎Mortalidad
650 1‎$0‎MAPA20080555016‎$a‎Longevidad
7730 ‎$w‎MAP20077100574‎$t‎Insurance : mathematics and economics‎$d‎Oxford : Elsevier, 1990-‎$x‎0167-6687‎$g‎01/11/2011 Tomo 49 Número 3 - 2011 , p. 462-470