A sensitivity analysis concept for life insurance with respect to a valuation basis of infinite dimension
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References listed on IDEAS
- Ramlau-Hansen, Henrik, 1988. "The emergence of profit in life insurance," Insurance: Mathematics and Economics, Elsevier, vol. 7(4), pages 225-236, December.
- Milbrodt, Hartmut & Stracke, Andrea, 1997. "Markov models and Thiele's integral equations for the prospective reserve," Insurance: Mathematics and Economics, Elsevier, vol. 19(3), pages 187-235, May.
- Olivieri, Annamaria, 2001. "Uncertainty in mortality projections: an actuarial perspective," Insurance: Mathematics and Economics, Elsevier, vol. 29(2), pages 231-245, October.
- Khalaf-Allah, M. & Haberman, S. & Verrall, R., 2006. "Measuring the effect of mortality improvements on the cost of annuities," Insurance: Mathematics and Economics, Elsevier, vol. 39(2), pages 231-249, October.
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Cited by:
- Christiansen, Marcus C. & Furrer, Christian, 2021. "Dynamics of state-wise prospective reserves in the presence of non-monotone information," Insurance: Mathematics and Economics, Elsevier, vol. 97(C), pages 81-98.
- Christiansen, Marcus C. & Denuit, Michel M. & Lazar, Dorina, 2012. "The Solvency II square-root formula for systematic biometric risk," Insurance: Mathematics and Economics, Elsevier, vol. 50(2), pages 257-265.
- Christiansen, Marcus C., 2010. "Biometric worst-case scenarios for multi-state life insurance policies," Insurance: Mathematics and Economics, Elsevier, vol. 47(2), pages 190-197, October.
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