Risk aggregation and stochastic claims reserving in disability insurance

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<dc:creator>Djehiche, Boualem</dc:creator>
<dc:creator>Löfdahl, Björn</dc:creator>
<dc:date>2014-11-03</dc:date>
<dc:description xml:lang="es">Sumario: We 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.</dc:description>
<dc:identifier>https://documentacion.fundacionmapfre.org/documentacion/publico/es/bib/150782.do</dc:identifier>
<dc:language>spa</dc:language>
<dc:rights xml:lang="es">InC - http://rightsstatements.org/vocab/InC/1.0/</dc:rights>
<dc:subject xml:lang="es">Matemática del seguro</dc:subject>
<dc:subject xml:lang="es">Cálculo actuarial</dc:subject>
<dc:subject xml:lang="es">Seguro de invalidez</dc:subject>
<dc:subject xml:lang="es">Procesos estocásticos</dc:subject>
<dc:subject xml:lang="es">Simulación Monte Carlo</dc:subject>
<dc:subject xml:lang="es">Técnicas estadísticas multivariantes</dc:subject>
<dc:type xml:lang="es">Artículos y capítulos</dc:type>
<dc:title xml:lang="es">Risk aggregation and stochastic claims reserving in disability insurance</dc:title>
<dc:relation xml:lang="es">En: Insurance : mathematics and economics. - Oxford : Elsevier, 1990- = ISSN 0167-6687. - 03/11/2014 Volumen 59 Número 1 - noviembre 2014 , p. 100-108</dc:relation>
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