کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5076641 | 1477217 | 2014 | 12 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Factor risk quantification in annuity models
ترجمه فارسی عنوان
اندازه گیری ریسک فاکتور در مدل های سالیانه
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
چکیده انگلیسی
Calculation of risk contributions of sub-portfolios to total portfolio risk is essential for risk management in insurance companies. Thanks to risk capital allocation methods and linearity of the loss model, sub-portfolio (or position) contributions can be calculated efficiently. However, factor risk contribution theory in non-linear loss models has received little interest. Our concern is the determination of factor risk contributions to total portfolio risk where portfolio risk is a non-linear function of factor risks. We employ different approximations in order to convert the non-linear loss model into a linear one. We illustrate the theory on an annuity portfolio where the main factor risks are interest-rate risk and mortality risk.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 58, September 2014, Pages 34-45
Journal: Insurance: Mathematics and Economics - Volume 58, September 2014, Pages 34-45
نویسندگان
Uǧur Karabey, Torsten Kleinow, Andrew J.G. Cairns,