کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5077282 1374124 2008 11 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
A sensitivity analysis concept for life insurance with respect to a valuation basis of infinite dimension
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
A sensitivity analysis concept for life insurance with respect to a valuation basis of infinite dimension
چکیده انگلیسی
A sensitivity analysis concept is introduced for prospective reserves of individual life insurance contracts as deterministic mappings of the actuarial assumptions interest rate, mortality probability, disability probability, etc. Upon modeling these assumptions as functions on a real time line, the prospective reserve is here a mapping with infinite dimensional domain. Inspired by the common idea of interpreting partial derivatives of first order as local sensitivities, a generalized gradient vector approach is introduced in order to allow for a sensitivity analysis of the prospective reserves as functionals on a function space. The capability of the concept is demonstrated with an example.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 42, Issue 2, April 2008, Pages 680-690
نویسندگان
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