English, Article edition: Stochastic portfolio specific mortality and the quantification of mortality basis risk Plat, Richard

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Bookmark: http://trove.nla.gov.au/version/11016
Physical Description
  • article
Language
  • English

Edition details

Title
  • Stochastic portfolio specific mortality and the quantification of mortality basis risk
Author
  • Plat, Richard
Physical Description
  • article
Notes
  • In the last decade a vast literature on stochastic mortality models has been developed. However, these models are often not directly applicable to insurance portfolios because: (a) For insurers and pension funds it is more relevant to model mortality rates measured in insured amounts instead of measured in the number of policies. (b) Often there is not enough insurance portfolio specific mortality data available to fit such stochastic mortality models reliably. Therefore, in this paper a stochastic model is proposed for portfolio specific mortality experience. Combining this stochastic process with a stochastic country population mortality process leads to stochastic portfolio specific mortality rates, measured in insured amounts. The proposed stochastic process is applied to two insurance portfolios, and the impact on the Value at Risk for longevity risk is quantified. Furthermore, the model can be used to quantify the basis risk that remains when hedging portfolio specific mortality risk with instruments of which the payoff depends on population mortality rates.
  • Portfolio specific mortality Stochastic mortality models Mortality basis risk Longevity risk Solvency 2
  • RePEc:eee:insuma:v:45:y:2009:i:1:p:123-132
Language
  • English
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