Στοχαστική μοντελοποίηση για τον υπολογισμό τυχαίων απαιτήσεων θνησιμότητας μέσω παραγώγων θνησιμότητας
View/
Keywords
Κίνηση Brown ; Στοχαστική μοντελοποίηση ; Κίνδυνος θνησιμότητας ; Δικαιώματα προαίρεσης ; Χρηματοοικονομικά παράγωγα ; Ράντες ; Στοχαστικές διαδικασίες ; Κίνηση BrownAbstract
In this paper we will study the stochastic modeling of accidental mortality claims through future mortality derivatives and interest rate risk. Most insurance companies and especially in the US, they are investing trillions of dollars in policies that allow for the right of cancellation of savings contracts with guaranteed cancellation rates. However, although the interest rate risk is firmly predictable, the risk of mortality is not. Based on the above through the stochastic modeling the company may determine for the counterparty two stochastic variables, that of the interest rate and that of the mortality. Moreover, from the actuarial point of view, the calculation of the mortality risk is not made for a time t for a person aged x as a number μ_χ (t) but as a random term contract μ ̃_x (t) from which we expect mortality equal to μ_χ (t) =E(μ ̃_x (t)). In conclusion, these two risks can be offset, and the cancellation product can be priced through a portfolio that includes unsecured bills, revenues, and debentures through a distinct and consistent pricing framework.
Postgraduate Studies Programme
Αναλογιστική Επιστήμη και Διοικητική ΚινδύνουDepartment
Σχολή Χρηματοοικονομικής και Στατιστικής. Τμήμα Στατιστικής και Ασφαλιστικής ΕπιστήμηςNumber of pages
103Language
GreekCollections
Except where otherwise noted, this item's license is described as
Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές
Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές