Stochastic portfolio specific mortality and the quantification of mortality basis risk

Insurance: Mathematics and Economics

Volumn 45, Issue 1, 2009, Pages 123-132

  Plat, Richard ^a,b,c  

^a UNIVERSITY OF AMSTERDAM   (Netherlands)

^b Eureko/Achmea Holding ^*  (Netherlands)

^c NETSPAR   (Netherlands)

Author keywords

Longevity risk; Mortality basis risk; Portfolio specific mortality; Solvency 2; Stochastic mortality models

Indexed keywords

EID: 67650077230     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.insmatheco.2009.05.002     Document Type: Article

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