Robust assessment of life insurance products

被引：0
|
作者：
Bernard, Carole [1 ,2 ]
De Vecchi, Corrado [3 ,4 ]
Vanduffel, Steven [2 ,3 ]
机构：
[1] Grenoble Ecole Management, Dept Accounting Law & Finance, Grenoble, France
[2] Vrije Univ Brussel VUB, Fac Social Sci, Brussels, Belgium
[3] Vrije Univ Brussel VUB, Solvay Business Sch, Brussels, Belgium
[4] Tech Univ Munich TUM, Dept Math, Munich, Germany
来源：
ANNALS OF OPERATIONS RESEARCH | 2024年
关键词：
Model risk; Insurance pricing; L-p distance; Longevity risk; Actuarial value; VALUE-AT-RISK; MODEL UNCERTAINTY; MORTALITY; BOUNDS;
D O I：
10.1007/s10479-024-05969-8
中图分类号：
C93 [管理学]; O22 [运筹学];
学科分类号：
070105 ; 12 ; 1201 ; 1202 ; 120202 ;
摘要：
In this paper we propose a robust assessment for the premium of a standard life insurance contract with respect to the uncertainty on the estimated residual lifetime distribution function. Specifically, we provide a method to derive the range of values that the premium of a given contract can attain when considering all residual lifetime distribution functions that satisfy an L-2 distance constraint to a reference distribution function. Furthermore, we show that the L-2 distance constraint can be used as flexible starting point to include further information regarding future mortality.
引用
收藏
页数：27
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