Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5076400 | Insurance: Mathematics and Economics | 2015 | 5 Pages |
Abstract
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Michel Denuit, Julien Trufin,