通过扩展的CreditRisk +来压缩死亡率和人寿保险组合
Crunching Mortality and Life Insurance Portfolios with extended CreditRisk+
摘要：
使用扩展版本的信用风险模型CreditRisk+，我们开发了一个灵活的框架与众多的应用程序，其中我们发现随机死亡率建模，死亡原因的预测，以及利润和损失建模的人寿保险和年金投资组合，可用于（部分）内部模型下的偿付能力II。然而，存在一种快速且数值稳定的算法来精确地导出损失分布，即使对于大型投资组合也是如此。我们提供基于公开数据的各种估计程序。与Lee-Carter模型相比，我们有一个更灵活的框架，得到更严格的界限，并可以直接提取几个不确定性的来源。直接的模型验证技术是可用的。
英文摘要：
Using an extended version of the credit risk model CreditRisk+, we develop a flexible framework with numerous applications amongst which we find stochastic mortality modelling, forecasting of death causes as well as profit and loss modelling of life insurance and annuity portfolios which can be used in (partial) internal models under Solvency II. Yet, there exists a fast and numerically stable algorithm to derive loss distributions exactly, even for large portfolios. We provide various estimation procedures based on publicly available data. Compared to the Lee-Carter model, we have a more flexible framework, get tighter bounds and can directly extract several sources of uncertainty. Straight-forward model validation techniques are available.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
