排序方式: 共有2条查询结果,搜索用时 0 毫秒
1
1.
The aim of the paper is twofold. Firstly, it develops a model for risk assessment in a portfolio of life annuities with long term care benefits. These products are usually represented by a Markovian Multi-State model and are affected by both longevity and disability risks. Here, a stochastic projection model is proposed in order to represent the future evolution of mortality and disability transition intensities. Data from the Italian National Institute of Social Security (INPS) and from Human Mortality Database (HMD) are used to estimate the model parameters. Secondly, it investigates the solvency in a portfolio of enhanced pensions. To this aim a risk model based on the portfolio risk reserve is proposed and different rules to calculate solvency capital requirements for life underwriting risk are examined. Such rules are then compared with the standard formula proposed by the Solvency II project. 相似文献
2.
D’Amato Valeria D’Ecclesia Rita Levantesi Susanna 《Computational Management Science》2022,19(2):347-373
Computational Management Science - Environment-related risks affect assets in various sectors of the global economy, as well as social and governance aspects, giving birth to what is known as ESG... 相似文献
1