Model points and Tail-VaR in life insurance

Michel Denuit and Julien Trufin

Insurance: Mathematics and Economics, 2015, vol. 64, issue C, 268-272

Abstract: Often, actuaries replace a group of heterogeneous life insurance contracts (different age at policy issue, contract duration, sum insured, etc.) with a representative one in order to speed the computations. The present paper aims to homogenize a group of policies by controlling the impact on Tail-VaR and related risk measures.

Keywords: Risk measures; Life insurance; Model points; Supermodular order; Convex order (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:64:y:2015:i:c:p:268-272

DOI: 10.1016/j.insmatheco.2015.06.002

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