A dynamic equivalence principle for systematic longevity risk management
This paper addresses systematic longevity risk in long-term insurance business. We analyze the consequences of working under unknown survival probabilities on the efficiency of the Law of Large Numbers and point out the need for appropriate and feasible risk management techniques. We propose a setti...
Ausführliche Beschreibung
Gespeichert in:
| Autor*in: |
Hanbali, Hamza [verfasserIn] |
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| Format: |
E-Artikel |
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| Sprache: |
Englisch |
| Erschienen: |
2019transfer abstract |
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| Schlagwörter: |
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| Umfang: |
10 |
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| Übergeordnetes Werk: |
Enthalten in: Type V secretion: From biogenesis to biotechnology - van Ulsen, Peter ELSEVIER, 2014transfer abstract, mathematics and economics, Amsterdam |
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volume:86 ; year:2019 ; pages:158-167 ; extent:10 |
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| DOI / URN: |
10.1016/j.insmatheco.2019.02.004 |
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| 520 | |a This paper addresses systematic longevity risk in long-term insurance business. We analyze the consequences of working under unknown survival probabilities on the efficiency of the Law of Large Numbers and point out the need for appropriate and feasible risk management techniques. We propose a setting for risk sharing schemes between the insurer and policyholders via a dynamic equivalence principle. We focus on a pure endowment contract and derive conditions for a viable risk sharing scheme which enhances the solvency situation of the insurer while being more favorably priced for the policyholders. | ||
| 520 | |a This paper addresses systematic longevity risk in long-term insurance business. We analyze the consequences of working under unknown survival probabilities on the efficiency of the Law of Large Numbers and point out the need for appropriate and feasible risk management techniques. We propose a setting for risk sharing schemes between the insurer and policyholders via a dynamic equivalence principle. We focus on a pure endowment contract and derive conditions for a viable risk sharing scheme which enhances the solvency situation of the insurer while being more favorably priced for the policyholders. | ||
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10.1016/j.insmatheco.2019.02.004 doi GBV00000000000591.pica (DE-627)ELV046503927 (ELSEVIER)S0167-6687(18)30542-0 DE-627 ger DE-627 rakwb eng 570 VZ 004 VZ 50.32 bkl 50.16 bkl Hanbali, Hamza verfasserin aut A dynamic equivalence principle for systematic longevity risk management 2019transfer abstract 10 nicht spezifiziert zzz rdacontent nicht spezifiziert z rdamedia nicht spezifiziert zu rdacarrier This paper addresses systematic longevity risk in long-term insurance business. We analyze the consequences of working under unknown survival probabilities on the efficiency of the Law of Large Numbers and point out the need for appropriate and feasible risk management techniques. We propose a setting for risk sharing schemes between the insurer and policyholders via a dynamic equivalence principle. We focus on a pure endowment contract and derive conditions for a viable risk sharing scheme which enhances the solvency situation of the insurer while being more favorably priced for the policyholders. This paper addresses systematic longevity risk in long-term insurance business. We analyze the consequences of working under unknown survival probabilities on the efficiency of the Law of Large Numbers and point out the need for appropriate and feasible risk management techniques. We propose a setting for risk sharing schemes between the insurer and policyholders via a dynamic equivalence principle. We focus on a pure endowment contract and derive conditions for a viable risk sharing scheme which enhances the solvency situation of the insurer while being more favorably priced for the policyholders. Systematic longevity risk Elsevier Dynamic equivalence principle Elsevier Risk sharing Elsevier Solvency Elsevier (Conditional) Law of large numbers Elsevier Denuit, Michel oth Dhaene, Jan oth Trufin, Julien oth Enthalten in North Holland Publ. Co van Ulsen, Peter ELSEVIER Type V secretion: From biogenesis to biotechnology 2014transfer abstract mathematics and economics Amsterdam (DE-627)ELV022536558 volume:86 year:2019 pages:158-167 extent:10 https://doi.org/10.1016/j.insmatheco.2019.02.004 Volltext GBV_USEFLAG_U GBV_ELV SYSFLAG_U 50.32 Dynamik Schwingungslehre Technische Mechanik VZ 50.16 Technische Zuverlässigkeit Instandhaltung VZ AR 86 2019 158-167 10 |
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10.1016/j.insmatheco.2019.02.004 doi GBV00000000000591.pica (DE-627)ELV046503927 (ELSEVIER)S0167-6687(18)30542-0 DE-627 ger DE-627 rakwb eng 570 VZ 004 VZ 50.32 bkl 50.16 bkl Hanbali, Hamza verfasserin aut A dynamic equivalence principle for systematic longevity risk management 2019transfer abstract 10 nicht spezifiziert zzz rdacontent nicht spezifiziert z rdamedia nicht spezifiziert zu rdacarrier This paper addresses systematic longevity risk in long-term insurance business. We analyze the consequences of working under unknown survival probabilities on the efficiency of the Law of Large Numbers and point out the need for appropriate and feasible risk management techniques. We propose a setting for risk sharing schemes between the insurer and policyholders via a dynamic equivalence principle. We focus on a pure endowment contract and derive conditions for a viable risk sharing scheme which enhances the solvency situation of the insurer while being more favorably priced for the policyholders. This paper addresses systematic longevity risk in long-term insurance business. We analyze the consequences of working under unknown survival probabilities on the efficiency of the Law of Large Numbers and point out the need for appropriate and feasible risk management techniques. We propose a setting for risk sharing schemes between the insurer and policyholders via a dynamic equivalence principle. We focus on a pure endowment contract and derive conditions for a viable risk sharing scheme which enhances the solvency situation of the insurer while being more favorably priced for the policyholders. Systematic longevity risk Elsevier Dynamic equivalence principle Elsevier Risk sharing Elsevier Solvency Elsevier (Conditional) Law of large numbers Elsevier Denuit, Michel oth Dhaene, Jan oth Trufin, Julien oth Enthalten in North Holland Publ. Co van Ulsen, Peter ELSEVIER Type V secretion: From biogenesis to biotechnology 2014transfer abstract mathematics and economics Amsterdam (DE-627)ELV022536558 volume:86 year:2019 pages:158-167 extent:10 https://doi.org/10.1016/j.insmatheco.2019.02.004 Volltext GBV_USEFLAG_U GBV_ELV SYSFLAG_U 50.32 Dynamik Schwingungslehre Technische Mechanik VZ 50.16 Technische Zuverlässigkeit Instandhaltung VZ AR 86 2019 158-167 10 |
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This paper addresses systematic longevity risk in long-term insurance business. We analyze the consequences of working under unknown survival probabilities on the efficiency of the Law of Large Numbers and point out the need for appropriate and feasible risk management techniques. We propose a setting for risk sharing schemes between the insurer and policyholders via a dynamic equivalence principle. We focus on a pure endowment contract and derive conditions for a viable risk sharing scheme which enhances the solvency situation of the insurer while being more favorably priced for the policyholders. |
| abstractGer |
This paper addresses systematic longevity risk in long-term insurance business. We analyze the consequences of working under unknown survival probabilities on the efficiency of the Law of Large Numbers and point out the need for appropriate and feasible risk management techniques. We propose a setting for risk sharing schemes between the insurer and policyholders via a dynamic equivalence principle. We focus on a pure endowment contract and derive conditions for a viable risk sharing scheme which enhances the solvency situation of the insurer while being more favorably priced for the policyholders. |
| abstract_unstemmed |
This paper addresses systematic longevity risk in long-term insurance business. We analyze the consequences of working under unknown survival probabilities on the efficiency of the Law of Large Numbers and point out the need for appropriate and feasible risk management techniques. We propose a setting for risk sharing schemes between the insurer and policyholders via a dynamic equivalence principle. We focus on a pure endowment contract and derive conditions for a viable risk sharing scheme which enhances the solvency situation of the insurer while being more favorably priced for the policyholders. |
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| title_short |
A dynamic equivalence principle for systematic longevity risk management |
| url |
https://doi.org/10.1016/j.insmatheco.2019.02.004 |
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| author2 |
Denuit, Michel Dhaene, Jan Trufin, Julien |
| author2Str |
Denuit, Michel Dhaene, Jan Trufin, Julien |
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| doi_str |
10.1016/j.insmatheco.2019.02.004 |
| up_date |
2024-07-06T20:24:01.763Z |
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