Bacinello, Anna Rita; Chen, An; Sehner, Thorsten; … - In: Risks : open access journal 9 (2021) 1/20, pp. 1-18
The purpose of this paper is to conduct a market-consistent valuation of life insurance participating liabilities sold to a population of partially heterogeneous customers under the joint impact of biometric and financial risk. In particular, the heterogeneity between groups of policyholders...
