A bidimensional approach to mortality risk |
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Authors: | Enrico Biffis Pietro Millossovich |
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Institution: | (1) Faculty of Actuarial Science and Insurance, Cass Business School,;(2) Dipartimento di Matematica Applicata alle Scienze Economiche Statistiche ed Attuariali ‘Bruno de Finetti’, Università di Trieste, |
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Abstract: | 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. |
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Keywords: | |
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