Crunching mortality and life insurance portfolios with extended CreditRisk+
Jonas Hirz, Uwe Schmock and Pavel Shevchenko present a summary of actuarial applications of the extended CreditRisk+ model
CLICK HERE TO VIEW THE PDF
Jonas Hirz, Uwe Schmock and Pavel Shevchenko present a summary of actuarial applications of the extended CreditRisk+ model, including stochastic mortality modelling, joint modelling of death causes and profit-and-loss (P&L) modelling of life insurance portfolios. This approach provides an efficient, numerically stable algorithm for an exact calculation of P&L
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (point 2.4), printing is limited to a single copy.
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5.
If you would like to purchase additional rights please email info@risk.net
More on Investments
Supervised similarity for firm linkages
Quantum fidelity is used to capture dependency structures in equity
Deep learning alpha signals from limit order books
An analysis on network architectures applied to limit order book data is presented
Optimising broker evaluation through intraday modelling of execution cost
A method to assess brokers’ performance via their market impact is presented
Supervised similarity for high-yield bonds
Quantum cognition ML is used to identify tradable alternatives for high-yield corporate bonds
Gaussian GenAI: synthetic market data generation
A method to generate financial time series with mixture models is presented
Estimating mean reversions in interest rate models
The speed of factors’ mean reversion in rate models is estimated
Overcoming Markowitz’s instability with hierarchical risk parity
Portfolio optimisation via HRP provides stable and robust weight estimates
Quantum two-sample test for investment strategies
Quantum algorithms display high discriminatory power in the classification of probability distributions
