Deterministic shock vs. stochastic value-at-risk — an analysis of the Solvency II standard model approach to longevity risk

Author:

Börger Matthias

Publisher

Springer Science and Business Media LLC

Subject

Applied Mathematics,Statistics, Probability and Uncertainty,Accounting

Reference54 articles.

1. Bauer D, Börger M, RußJ, Zwiesler H-J (2008) The volatility of mortality. Asia-Pac J Risk Insur 3:184–211

2. Bauer D, Börger M, RußJ (2010) On the pricing of longevity-linked securities. Insur, Math Econ 46:139–149

3. Bauer D, Bergmann D, ReußA (2010) On the calculation of the solvency capital requirement based on nested simulations. Working Paper, Georgia State University and Ulm University

4. Biffis E (2005) Affine processes for dynamic mortality and actuarial valuations. Insur, Math Econ 37:443–468

5. Booth H, Tickle L (2008) Mortality modelling and forecasting: a review of methods. Ann Actuar Sci 3:3–41

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