PI-0826 Stochastic Portfolio Specific Mortality and the Quantification of Mortality Basis Risk

@inproceedings{Plat2009PI0826SP,
  title={PI-0826 Stochastic Portfolio Specific Mortality and the Quantification of Mortality Basis Risk},
  author={Richard Plat},
  year={2009}
}
The last decennium a vast literature on stochastic mortality models has been developed. However, these models are often not directly applicable to insurance portfolios because: a) For insurers and pension funds it is more relevant to model mortality rates measured in insured amounts instead of measured in number of policies. b) Often there is not enough insurance portfolio specific mortality data available to fit such stochastic mortality models reliably. Therefore, in this paper a stochastic… CONTINUE READING

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