Department of Finance
Date of this Version
2002
Document Type
Article
Citation
Journal of Actuarial Practice 10 (2002), pp. 229-242
Abstract
The paper considers a model that allows the actuary to measure the riskiness connected to the randomness of projected mortality tables in evaluating a portfolio of life annuities, obtaining a measure to reflect the risk associated with the randomness of the projection. The coherence of the risk parameters with the specific nature of the considered risk sources is also discussed. Numerical examples illustrate the results, showing the importance of the risk components in terms of the number of policies and comparing measure tools obtained by means of two procedures.
Included in
Accounting Commons, Business Administration, Management, and Operations Commons, Corporate Finance Commons, Finance and Financial Management Commons, Insurance Commons, Management Sciences and Quantitative Methods Commons
Comments
Copyright 2002 Absalom Press