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European Actuarial Journal
Published in: European Actuarial Journal 2/2021

11-06-2021 | Discussion on recent papers

Discussion on “Exchangeable mortality projection” (Shapovalov et al.)

Author: Alexandre Boumezoued

Published in: European Actuarial Journal | Issue 2/2021

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Excerpt

The Solvency II regulation specifies three main sources of risk related to longevity and mortality. Those should be taken into account in the derivation of the so-called solvency capital requirement, reflecting an adverse 99.5% deviation over 1 year. The sub-risks defined relate to level, trend and volatility. Those take various forms in practice in so-called internal models, where the taxonomy can also differ. Making the analogy with non-life risks, especially in the field of reserving, one can find decompositions such as process error, i.e. the pure stochastic component of the modelling, and estimation error, i.e. the uncertainty in the parameter estimates. …
previous article Equivalence principle and Jewell’s inequality
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Literature
1.
Czado C, Delwarde A, Denuit M (2005) Bayesian Poisson log-bilinear mortality projections. Insur Math Econ 36(3):260–284MathSciNetCrossRef
2.
Gill J (2007) Bayesian methods: a social and behavioral sciences approach. CRC Press, CambridgeCrossRef
Metadata
Title
Discussion on “Exchangeable mortality projection” (Shapovalov et al.)
Author
Alexandre Boumezoued
Publication date
11-06-2021
Publisher
Springer Berlin Heidelberg
Published in
European Actuarial Journal / Issue 2/2021
Print ISSN: 2190-9733
Electronic ISSN: 2190-9741
DOI
https://doi.org/10.1007/s13385-021-00286-x

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