Titlebook: Mathematical and Statistical Methods for Actuarial Sciences and Finance; Cira Perna,Marilena Sibillo Book 2012 Springer-Verlag Italia Srl.

Apogee

An ordinal approach to risk measurement,underlying universes, and make use of lattice functions to formalize the notion of risk measure. Several properties of risk measures are translated into this general setting, and used to provide axiomatic characterizations. Moreover, a notion of quantile of a lattice-valued random variable is propos

BANAL

Piecewise linear dynamic systems for own risk solvency assessment,. Considering also the advices in CEIOPS Consultation Paper 56, a natural extension of this procedure is to employ IRM in Own Risk Solvency Assessment (ORSA) also in a long time horizon. Under an ORSA, insurance companies will have to understand how their strategic choices affect the solvency ratio.

改變立場(chǎng)

Debrief

騎師

Capital requirements for aggregate risks in long term living products: A stochastic approach,en stochastic interest and mortality rates are considered. We propose a computationally tractable approach that yields an estimate for the required solvency capital when mortality and interest rates are forecasted by means of diffusion processes. To this aim we determine the capital requirements for

Pepsin

debacle

BACLE

Valuation of portfolio loss derivatives in an infectious model, other defaulting firms (a domino effect being also possible). The spontaneous default without external influence and the infections are described by conditionally independent Bernoulli-type random variables. We provide a recursive algorithm for the computation of the loss distribution that involves

Handedness

Internal risk control by solvency measures,chastic interest rate dynamics and the survival evolution in time. This specific aspect is investigated basing the survival death rates on Poisson Lee Carter model approached according to the Iterative Procedure and two simulated approaches on the Poisson Lee Carter: the Standard Procedure and the S

Bouquet