A duration approach for the measurement of biometric risks in life insurance
Abstract Duration concepts are standard methods for measuring interest rate risks of portfolios, liabilities or other cash flows. Macaulay duration, effective duration and key-rate duration are widely used in practice according to different types of yield curves. In this paper, we will present a for...
Ausführliche Beschreibung
Gespeichert in:
| Autor*in: |
Radermacher, Marius [verfasserIn] |
|---|
| Format: |
Artikel |
|---|---|
| Sprache: |
Englisch |
| Erschienen: |
2019 |
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| Schlagwörter: |
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| Anmerkung: |
© The Author(s) 2020 |
|---|
| Übergeordnetes Werk: |
Enthalten in: Zeitschrift für die gesamte Versicherungswissenschaft - Springer Berlin Heidelberg, 1901, 108(2019), 3-4 vom: Okt., Seite 327-345 |
|---|---|
| Übergeordnetes Werk: |
volume:108 ; year:2019 ; number:3-4 ; month:10 ; pages:327-345 |
| Links: |
|---|
| DOI / URN: |
10.1007/s12297-019-00452-x |
|---|
| Katalog-ID: |
OLC2054147222 |
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| 520 | |a Abstract Duration concepts are standard methods for measuring interest rate risks of portfolios, liabilities or other cash flows. Macaulay duration, effective duration and key-rate duration are widely used in practice according to different types of yield curves. In this paper, we will present a formulation for a forward rate duration measure by using multi-dimensional Taylor series approximation. It allows to measure the interest rate risk based on arbitrary forward rates. This approach can easily be adopted for biometric risk management, allowing the definition of a biometric duration. The biometric duration will be applied to actuarial present values of premiums and benefits as well as the actuarial reserve to quantify the corresponding biometric risk. It proves to be an easy-to-use tool in the actuarial practise. | ||
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10.1007/s12297-019-00452-x doi (DE-627)OLC2054147222 (DE-He213)s12297-019-00452-x-p DE-627 ger DE-627 rakwb eng 360 VZ 330 340 VZ 3,2 ssgn Radermacher, Marius verfasserin (orcid)0000-0003-0441-1408 aut A duration approach for the measurement of biometric risks in life insurance 2019 Text txt rdacontent ohne Hilfsmittel zu benutzen n rdamedia Band nc rdacarrier © The Author(s) 2020 Abstract Duration concepts are standard methods for measuring interest rate risks of portfolios, liabilities or other cash flows. Macaulay duration, effective duration and key-rate duration are widely used in practice according to different types of yield curves. In this paper, we will present a formulation for a forward rate duration measure by using multi-dimensional Taylor series approximation. It allows to measure the interest rate risk based on arbitrary forward rates. This approach can easily be adopted for biometric risk management, allowing the definition of a biometric duration. The biometric duration will be applied to actuarial present values of premiums and benefits as well as the actuarial reserve to quantify the corresponding biometric risk. It proves to be an easy-to-use tool in the actuarial practise. Duration measure Biometric risk Forward rates Biometric duration Recht, Peter aut Enthalten in Zeitschrift für die gesamte Versicherungswissenschaft Springer Berlin Heidelberg, 1901 108(2019), 3-4 vom: Okt., Seite 327-345 (DE-627)129461202 (DE-600)200636-4 (DE-576)014825481 0044-2585 nnns volume:108 year:2019 number:3-4 month:10 pages:327-345 https://doi.org/10.1007/s12297-019-00452-x lizenzpflichtig Volltext GBV_USEFLAG_A SYSFLAG_A GBV_OLC SSG-OLC-WIW GBV_ILN_22 GBV_ILN_26 GBV_ILN_40 GBV_ILN_62 GBV_ILN_164 GBV_ILN_267 GBV_ILN_648 GBV_ILN_902 GBV_ILN_2008 GBV_ILN_2009 GBV_ILN_2018 GBV_ILN_2062 GBV_ILN_2118 GBV_ILN_4029 GBV_ILN_4126 GBV_ILN_4251 GBV_ILN_4277 GBV_ILN_4305 AR 108 2019 3-4 10 327-345 |
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10.1007/s12297-019-00452-x doi (DE-627)OLC2054147222 (DE-He213)s12297-019-00452-x-p DE-627 ger DE-627 rakwb eng 360 VZ 330 340 VZ 3,2 ssgn Radermacher, Marius verfasserin (orcid)0000-0003-0441-1408 aut A duration approach for the measurement of biometric risks in life insurance 2019 Text txt rdacontent ohne Hilfsmittel zu benutzen n rdamedia Band nc rdacarrier © The Author(s) 2020 Abstract Duration concepts are standard methods for measuring interest rate risks of portfolios, liabilities or other cash flows. Macaulay duration, effective duration and key-rate duration are widely used in practice according to different types of yield curves. In this paper, we will present a formulation for a forward rate duration measure by using multi-dimensional Taylor series approximation. It allows to measure the interest rate risk based on arbitrary forward rates. This approach can easily be adopted for biometric risk management, allowing the definition of a biometric duration. The biometric duration will be applied to actuarial present values of premiums and benefits as well as the actuarial reserve to quantify the corresponding biometric risk. It proves to be an easy-to-use tool in the actuarial practise. Duration measure Biometric risk Forward rates Biometric duration Recht, Peter aut Enthalten in Zeitschrift für die gesamte Versicherungswissenschaft Springer Berlin Heidelberg, 1901 108(2019), 3-4 vom: Okt., Seite 327-345 (DE-627)129461202 (DE-600)200636-4 (DE-576)014825481 0044-2585 nnns volume:108 year:2019 number:3-4 month:10 pages:327-345 https://doi.org/10.1007/s12297-019-00452-x lizenzpflichtig Volltext GBV_USEFLAG_A SYSFLAG_A GBV_OLC SSG-OLC-WIW GBV_ILN_22 GBV_ILN_26 GBV_ILN_40 GBV_ILN_62 GBV_ILN_164 GBV_ILN_267 GBV_ILN_648 GBV_ILN_902 GBV_ILN_2008 GBV_ILN_2009 GBV_ILN_2018 GBV_ILN_2062 GBV_ILN_2118 GBV_ILN_4029 GBV_ILN_4126 GBV_ILN_4251 GBV_ILN_4277 GBV_ILN_4305 AR 108 2019 3-4 10 327-345 |
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10.1007/s12297-019-00452-x doi (DE-627)OLC2054147222 (DE-He213)s12297-019-00452-x-p DE-627 ger DE-627 rakwb eng 360 VZ 330 340 VZ 3,2 ssgn Radermacher, Marius verfasserin (orcid)0000-0003-0441-1408 aut A duration approach for the measurement of biometric risks in life insurance 2019 Text txt rdacontent ohne Hilfsmittel zu benutzen n rdamedia Band nc rdacarrier © The Author(s) 2020 Abstract Duration concepts are standard methods for measuring interest rate risks of portfolios, liabilities or other cash flows. Macaulay duration, effective duration and key-rate duration are widely used in practice according to different types of yield curves. In this paper, we will present a formulation for a forward rate duration measure by using multi-dimensional Taylor series approximation. It allows to measure the interest rate risk based on arbitrary forward rates. This approach can easily be adopted for biometric risk management, allowing the definition of a biometric duration. The biometric duration will be applied to actuarial present values of premiums and benefits as well as the actuarial reserve to quantify the corresponding biometric risk. It proves to be an easy-to-use tool in the actuarial practise. Duration measure Biometric risk Forward rates Biometric duration Recht, Peter aut Enthalten in Zeitschrift für die gesamte Versicherungswissenschaft Springer Berlin Heidelberg, 1901 108(2019), 3-4 vom: Okt., Seite 327-345 (DE-627)129461202 (DE-600)200636-4 (DE-576)014825481 0044-2585 nnns volume:108 year:2019 number:3-4 month:10 pages:327-345 https://doi.org/10.1007/s12297-019-00452-x lizenzpflichtig Volltext GBV_USEFLAG_A SYSFLAG_A GBV_OLC SSG-OLC-WIW GBV_ILN_22 GBV_ILN_26 GBV_ILN_40 GBV_ILN_62 GBV_ILN_164 GBV_ILN_267 GBV_ILN_648 GBV_ILN_902 GBV_ILN_2008 GBV_ILN_2009 GBV_ILN_2018 GBV_ILN_2062 GBV_ILN_2118 GBV_ILN_4029 GBV_ILN_4126 GBV_ILN_4251 GBV_ILN_4277 GBV_ILN_4305 AR 108 2019 3-4 10 327-345 |
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10.1007/s12297-019-00452-x doi (DE-627)OLC2054147222 (DE-He213)s12297-019-00452-x-p DE-627 ger DE-627 rakwb eng 360 VZ 330 340 VZ 3,2 ssgn Radermacher, Marius verfasserin (orcid)0000-0003-0441-1408 aut A duration approach for the measurement of biometric risks in life insurance 2019 Text txt rdacontent ohne Hilfsmittel zu benutzen n rdamedia Band nc rdacarrier © The Author(s) 2020 Abstract Duration concepts are standard methods for measuring interest rate risks of portfolios, liabilities or other cash flows. Macaulay duration, effective duration and key-rate duration are widely used in practice according to different types of yield curves. In this paper, we will present a formulation for a forward rate duration measure by using multi-dimensional Taylor series approximation. It allows to measure the interest rate risk based on arbitrary forward rates. This approach can easily be adopted for biometric risk management, allowing the definition of a biometric duration. The biometric duration will be applied to actuarial present values of premiums and benefits as well as the actuarial reserve to quantify the corresponding biometric risk. It proves to be an easy-to-use tool in the actuarial practise. Duration measure Biometric risk Forward rates Biometric duration Recht, Peter aut Enthalten in Zeitschrift für die gesamte Versicherungswissenschaft Springer Berlin Heidelberg, 1901 108(2019), 3-4 vom: Okt., Seite 327-345 (DE-627)129461202 (DE-600)200636-4 (DE-576)014825481 0044-2585 nnns volume:108 year:2019 number:3-4 month:10 pages:327-345 https://doi.org/10.1007/s12297-019-00452-x lizenzpflichtig Volltext GBV_USEFLAG_A SYSFLAG_A GBV_OLC SSG-OLC-WIW GBV_ILN_22 GBV_ILN_26 GBV_ILN_40 GBV_ILN_62 GBV_ILN_164 GBV_ILN_267 GBV_ILN_648 GBV_ILN_902 GBV_ILN_2008 GBV_ILN_2009 GBV_ILN_2018 GBV_ILN_2062 GBV_ILN_2118 GBV_ILN_4029 GBV_ILN_4126 GBV_ILN_4251 GBV_ILN_4277 GBV_ILN_4305 AR 108 2019 3-4 10 327-345 |
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A duration approach for the measurement of biometric risks in life insurance |
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A duration approach for the measurement of biometric risks in life insurance |
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Radermacher, Marius |
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Zeitschrift für die gesamte Versicherungswissenschaft |
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Radermacher, Marius Recht, Peter |
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a duration approach for the measurement of biometric risks in life insurance |
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A duration approach for the measurement of biometric risks in life insurance |
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Abstract Duration concepts are standard methods for measuring interest rate risks of portfolios, liabilities or other cash flows. Macaulay duration, effective duration and key-rate duration are widely used in practice according to different types of yield curves. In this paper, we will present a formulation for a forward rate duration measure by using multi-dimensional Taylor series approximation. It allows to measure the interest rate risk based on arbitrary forward rates. This approach can easily be adopted for biometric risk management, allowing the definition of a biometric duration. The biometric duration will be applied to actuarial present values of premiums and benefits as well as the actuarial reserve to quantify the corresponding biometric risk. It proves to be an easy-to-use tool in the actuarial practise. © The Author(s) 2020 |
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Abstract Duration concepts are standard methods for measuring interest rate risks of portfolios, liabilities or other cash flows. Macaulay duration, effective duration and key-rate duration are widely used in practice according to different types of yield curves. In this paper, we will present a formulation for a forward rate duration measure by using multi-dimensional Taylor series approximation. It allows to measure the interest rate risk based on arbitrary forward rates. This approach can easily be adopted for biometric risk management, allowing the definition of a biometric duration. The biometric duration will be applied to actuarial present values of premiums and benefits as well as the actuarial reserve to quantify the corresponding biometric risk. It proves to be an easy-to-use tool in the actuarial practise. © The Author(s) 2020 |
| abstract_unstemmed |
Abstract Duration concepts are standard methods for measuring interest rate risks of portfolios, liabilities or other cash flows. Macaulay duration, effective duration and key-rate duration are widely used in practice according to different types of yield curves. In this paper, we will present a formulation for a forward rate duration measure by using multi-dimensional Taylor series approximation. It allows to measure the interest rate risk based on arbitrary forward rates. This approach can easily be adopted for biometric risk management, allowing the definition of a biometric duration. The biometric duration will be applied to actuarial present values of premiums and benefits as well as the actuarial reserve to quantify the corresponding biometric risk. It proves to be an easy-to-use tool in the actuarial practise. © The Author(s) 2020 |
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A duration approach for the measurement of biometric risks in life insurance |
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