کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
7354799 1477196 2018 17 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Robust evaluation of SCR for participating life insurances under Solvency II
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
Robust evaluation of SCR for participating life insurances under Solvency II
چکیده انگلیسی
This article proposes a robust framework to evaluate the solvency capital requirement (SCR) of a participating life insurance with death benefits. The preference for robustness arises from the ambiguity caused by the market incompleteness, model shortcomings and parameters misspecifications. To incorporate the uncertainty in the procedure of evaluation, we consider a set of potential equivalent pricing measures in the neighborhood of the real one. In this framework, closed form expressions for the net asset value (NAV) and for its moments are found. The SCR is next approximated by the Value at Risk of Gaussian or normal inverse Gaussian (NIG) random variables, approaching the NAV distribution and fitted by moments matching.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 79, March 2018, Pages 107-123
نویسندگان
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