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Safe-side scenarios for financial and biometrical risk. (English) Zbl 1290.91083

Suppose that a life insurance policy is driven by a jump process \(X\) with a finite state space \(S\), transition space \(J\subset S^2\), and some deterministic starting value. Usually, calculations of premiums, reserves and capital requirements for the life insurance policy are based on the “bad-case” assumptions on interest rates, mortality rates and transition rates between states. The paper explains how one can find deterministic “bad-case” scenarios when the interest and transition rates are mutually dependent. The presented approach is relevant for internal models in Solvency II.

MSC:

91B30 Risk theory, insurance (MSC2010)
91G10 Portfolio theory
91G50 Corporate finance (dividends, real options, etc.)
90C39 Dynamic programming
60J75 Jump processes (MSC2010)
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