Risk.net

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

tortoise-longevity
  • Jonas Hirz, Uwe Schmock, Pavel Shevchenko
  • LinkedIn  
  • Save this article
  • Print this page  

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 distributions. Model parameters are estimated via Markov chain Monte Carlo

In Hirz, Schmock & Shevchenko

To continue reading...

More on Investments

Most read on Risk.net

  1. Dealers dip toe into Sonia swaptions market
  2. Carney: Germany and France risk Brexit derivatives cliff edge
  3. New op risk taxonomy set for October debut
  4. Sefs stall, but more liquidity may be coming
  5. CME-LCH basis collapses amid rates downturn

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: