ArTS Archivio della ricerca di Trieste
ArTS è il sistema di gestione integrata dei dati della ricerca adottato dall' Università degli Studi di Trieste
EnglishWe analyze the evolution over time of portfolios of life insurance contracts referring to different cohorts or risk classes of insureds. We model the intensity of mortality as a random field, in order to capture cross-generation (risk class) effects induced by the on-going management of portfolios of policies. Applications are described in the context of mortality risk analysis and (market) valuation of liabilities at aggregate level. It is shown how the model can be employed when an insurer's new business is considered.
Utilizza questo identificativo per citare o creare un link a questo documento:
http://hdl.handle.net/11368/1696394| Titolo: | A Bidimensional Approach to Mortality Risk |
| Autori interni: | MILLOSSOVICH, PIETRO BIFFIS, ENRICO |
| Data di pubblicazione: | 2006 |
| Rivista: | DECISIONS IN ECONOMICS AND FINANCE |
| Abstract: | We analyze the evolution over time of portfolios of life insurance contracts referring to different cohorts or risk classes of insureds. We model the intensity of mortality as a random field, in order to capture cross-generation (risk class) effects induced by the on-going management of portfolios of policies. Applications are described in the context of mortality risk analysis and (market) valuation of liabilities at aggregate level. It is shown how the model can be employed when an insurer's new business is considered. |
| Handle: | http://hdl.handle.net/11368/1696394 |
| Digital Object Identifier (DOI): | 10.1007/s10203-006-0061-5 |
| Appare nelle tipologie: | 1.1 Articolo in Rivista |
File in questo prodotto:
Non ci sono file associati a questo prodotto.
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.