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摘要
This paper aims to compare different reinsurance arrangements in order to reduce the longevity and financial risk originated by a life insurer while managing a portfolio of annuities policies. Linear and nonlinear reinsurance strategies as well as swap like agreements are evaluated via a discrete-time actuarial risk model. Specifically, longevity dynamics are represented by Lee-Carter type models, while interest rate is modeled by Cox-Ingersoll-Ross model. The reinsurance strategies effectiveness is evaluated according to the Return on Risk Adjusted Capital under a ruin probability constrain.
- 出版日期2017
