Crunching Mortality and Life Insurance Portfolios with extended CreditRisk+

Jonas Hirz, Uwe Schmock and Pavel V. Shevchenko

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Abstract: Using an extended version of the credit risk model CreditRisk+, we develop a flexible framework with numerous applications amongst which we find stochastic mortality modelling, forecasting of death causes as well as profit and loss modelling of life insurance and annuity portfolios which can be used in (partial) internal models under Solvency II. Yet, there exists a fast and numerically stable algorithm to derive loss distributions exactly, even for large portfolios. We provide various estimation procedures based on publicly available data. Compared to the Lee-Carter model, we have a more flexible framework, get tighter bounds and can directly extract several sources of uncertainty. Straight-forward model validation techniques are available.

Date: 2016-01, Revised 2016-11
New Economics Papers: this item is included in nep-ias and nep-rmg
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