Crunching mortality and life insurance portfolios with extended CreditRisk+

Jonas Hirz, Uwe Schmock, Pavel Shevchenko
06 Jan 2017

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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 distributions. Model parameters are estimated via Markov chain Monte Carlo

In Hirz, Schmock & Shevchenko

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