Dynamics of solvency risk in life insurance liabilities

被引：1
|
作者：
Christiansen, M. C. [1 ,2 ]
Fahrenwaldt, M. A. [3 ,4 ]
机构：
[1] Heriot Watt Univ, Dept Actuarial Math & Stat, Edinburgh, Midlothian, Scotland
[2] Maxwell Inst Math Sci, Edinburgh, Midlothian, Scotland
[3] Leibniz Univ Hannover, Inst Math Stochast, Hannover, Germany
[4] EBZ Business Sch, Bochum, Germany
来源：
SCANDINAVIAN ACTUARIAL JOURNAL | 2016年 / 09期
关键词：
solvency level; life insurance risk management; backward stochastic differential equation; Malliavin calculus; STOCHASTIC DIFFERENTIAL-EQUATIONS; SENSITIVITY;
D O I：
10.1080/03461238.2015.1020856
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
We describe the time dynamics of the solvency level of life insurance contracts by representing the solvency level and the underlying risk sources as the solution of a forward-backward system. This leads to an additive decomposition of the total solvency level with respect to time and different risk sources. The decomposition turns out to be an intuitive tool to study risk sensitivities. We study the forward-backward system and discuss two methods to obtain explicit representations: via linear partial differential equations and via a Monte Carlo method based on Malliavin calculus.
引用
收藏
页码：763 / 792
页数：30
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