Model points and Tail-VaR in life insurance

作者：Denuit Michel; Trufin Julien^*

来源：Insurance: Mathematics and Economics , 2015, 64: 268-272.

DOI：10.1016/j.insmatheco.2015.06.002

• Risk measures
• Life insurance
• Model points
• Supermodular order
• Convex order

Often, actuaries replace a group of heterogeneous life insurance contracts (different age at policy issue, contract duration, sum insured, etc.) with a representative one in order to speed the computations. The present paper aims to homogenize a group of policies by controlling the impact on Tail-VaR and related risk measures.

• 出版日期2015-9