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Stochastic mortality model with respect to mixed fractional Poisson process : calibration and empirical analysis of long-range dependence in actuarial valuation

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Persistent link: https://www.econbiz.de/10015067206

A second moment approach to probabilistic IRR using Taylor series

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Value-at-risk : theory and practice

Holton, Glyn A. - 2003

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About the impact of model risk on capital reserves : a quantitative analysis

Bertram, Philip; Sibbertsen, Philipp; Stahl, Gerhard - 2011

This paper analyzes and quantifies the idea of model risk in the environment of internal model building. We define various types of model risk including estimation risk, model risk in distribution and model risk in functional form. By the quantification of these concepts we analyze the impact of...