Model points and Tail-VaR in life insurance
نویسندگان
چکیده
Often, actuaries replace a group of heterogeneous life insurance contracts (different age at policy issue, contract duration, sum insured, etc.) with a representative one in order to speed the computations. The present paper aims to homogenize a group of policies by controlling the impact on Tail-VaR and related risk measures. © 2015 Elsevier B.V. All rights reserved.
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