Mesure des risques de marché et de souscription vie en situation d'information incomplète pour un portefeuille de prévoyance - Quantitative Finance > Risk ManagementReportar como inadecuado




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Abstract: In the framework of Embedded Value new standards, namely the MCEV norms, thelatest principles published in June 2008 address the issue of market andunderwriting risks measurement by using stochastic models of projection andvalorization. Knowing that stochastic models particularly data-consuming, thequestion which can arise is the treatment of insurance portfolios onlyavailable in aggregate data or portfolios in situation of incompleteinformation. The aim of this article is to propose a pragmatic modeling ofthese risks tied up with death covers of individual protection products inthese situations.



Autor: Jean-Paul Félix SAF, Frédéric Planchet SAF

Fuente: https://arxiv.org/



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