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Model points and Tail-VaR in life insurance

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Denuit, Michel [UCL] Trufin, Julien

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.

Document type Article de périodique (Journal article) – Article de recherche
Access type Accès interdit
Publication date 2015
Language Anglais
Journal information "Insurance: Mathematics and Economics" - Vol. 64, p. 268-272 (2015)
Peer reviewed yes
Publisher Elsevier BV * North-Holland (Amsterdam)
issn 0167-6687
e-issn 1873-5959
Publication status Publié
Affiliation UCL - SSH/LIDAM/ISBA - Institut de Statistique, Biostatistique et Sciences Actuarielles
Keywords Risk measures ; Life insurance ; Model points ; Supermodular order ; Convex order
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Bibliographic reference Denuit, Michel ; Trufin, Julien. Model points and Tail-VaR in life insurance. In: Insurance: Mathematics and Economics, Vol. 64, p. 268-272 (2015)
Permanent URL http://hdl.handle.net/2078.1/165134