Search Results - subject:"parameter risk"

Essays on life and political risk insurance

Fischer, Marius - 2017

Insurance companies are making an ever increasing effort to tailor their products more to the needs of their customers. A successful realization of these projects could result in a substantial competitive Advantage compared to their peers. Customer understanding differs fundamentally, depending...

Persistent link: https://www.econbiz.de/10011905949

Parameter risk in time-series mortality forecasts

Kleinow, Torsten; Richards, Stephen J. - In: Scandinavian actuarial journal (2017) 9, pp. 804-828

Persistent link: https://www.econbiz.de/10011848682

Demographic risk in deep-deferred annuity valuation

Ji, Min; Zhou, Rui - In: Annals of actuarial science : publ. by the Institute of … 11 (2017) 2, pp. 286-314

Persistent link: https://www.econbiz.de/10011820667

Systematic mortality risk : an analysis of guaranteed lifetime withdrawal benefits in variable annuities

Fung, Man Chung; Ignatieva, Ekaterina; Sherris, Michael - In: Insurance / Mathematics & economics 58 (2014), pp. 103-115

Persistent link: https://www.econbiz.de/10010437618

Systematic mortality risk: An analysis of guaranteed lifetime withdrawal benefits in variable annuities

Fung, Man Chung; Ignatieva, Katja; Sherris, Michael - In: Insurance: Mathematics and Economics 58 (2014) C, pp. 103-115

mortality models in a continuous time framework. We demonstrate the significance of parameter risk, model risk, as well as the …

Persistent link: https://www.econbiz.de/10010930893

Optimal betting under parameter uncertainty : improving the Kelly criterion

Baker, Rose D.; McHale, Ian - In: Decision analysis : a journal of the Institute for … 10 (2013) 3, pp. 189-199

Persistent link: https://www.econbiz.de/10010127787

Modeling parameter risk in premium risk in multi-year internal models

Diers, Dorothea; Eling, Martin; Linde, Marc - In: Journal of Risk Finance 14 (2013) May, pp. 234-250

Purpose – The purpose of this paper is to illustrate the importance of modeling parameter risk in premium risk … process and parameter risks in modeling reserve risk, whereas parameter risk is typically omitted in premium risk, the … modeling parameter risk (asymptotic normality, bootstrap, Bayesian) with different statistical properties. They then integrate …

Persistent link: https://www.econbiz.de/10010691552

Modeling parameter risk in premium risk in multi-year internal models

Diers, Dorothea; Eling, Martin; Linde, Marc - In: Journal of Risk Finance 14 (2013) May, pp. 234-250

Persistent link: https://www.econbiz.de/10010709780

Modeling parameter risk in premium risk in multi‐year internal models

Diers, Dorothea; Eling, Martin; Linde, Marc - In: The Journal of Risk Finance 14 (2013) 3, pp. 234-250

Persistent link: https://www.econbiz.de/10014902111

Modeling Mortality with a Bayesian Vector Autoregression

Njenga, Carolyn; Sherris, Michael - ARC Centre of Excellence in Population Ageing Research … - 2011

Mortality risk models have been developed to capture trends and common factors driving mortality improvement. Multiple factor models take many forms and are often developed and fitted to older ages. In order to capture trends from young ages it is necessary to take into account the richer age...

Persistent link: https://www.econbiz.de/10010551692