Safe-Side Scenarios for Financial and Biometrical Risk
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Safe-Side Scenarios for Financial and Biometrical Risk. / Christiansen, Marcus ; Steffensen, Mogens.
I: ASTIN Bulletin: The Journal of the IAA, Bind 43, Nr. 3, 2013, s. 323-357.Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt
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TY - JOUR
T1 - Safe-Side Scenarios for Financial and Biometrical Risk
AU - Christiansen, Marcus
AU - Steffensen, Mogens
PY - 2013
Y1 - 2013
N2 - Premium settlement and calculation of reserves and capital requirements are typically based on worst- or just bad-case assumptions on interest rates, mortality rates, and other transition rates between states defined according to the insurance benefits. If interest and transition rates are chosen independently from each other, the worst choice, i.e. the combination of interest rates and transition rates that maximizes the reserve, can be found by dynamic programming. Here, we generalize this idea by choosing the interest and transition rates from a set that allows for mutual dependence. In general, finding the worst case is much more complicated in this situation, but we characterize a set of relatively tractable problems and present a series of examples from this set. Our approach with mutual dependence is relevant e.g. for internal models in Solvency II.
AB - Premium settlement and calculation of reserves and capital requirements are typically based on worst- or just bad-case assumptions on interest rates, mortality rates, and other transition rates between states defined according to the insurance benefits. If interest and transition rates are chosen independently from each other, the worst choice, i.e. the combination of interest rates and transition rates that maximizes the reserve, can be found by dynamic programming. Here, we generalize this idea by choosing the interest and transition rates from a set that allows for mutual dependence. In general, finding the worst case is much more complicated in this situation, but we characterize a set of relatively tractable problems and present a series of examples from this set. Our approach with mutual dependence is relevant e.g. for internal models in Solvency II.
U2 - 10.1017/asb.2013.16
DO - 10.1017/asb.2013.16
M3 - Journal article
VL - 43
SP - 323
EP - 357
JO - ASTIN Bulletin: The Journal of the IAA
JF - ASTIN Bulletin: The Journal of the IAA
SN - 0515-0361
IS - 3
ER -
ID: 102772997