Zobrazeno 1 - 5
of 5
pro vyhledávání: '"Fr\'ed\'eric Planchet"'
Autor:
Fr\'ed\'eric Planchet, Vincent Lelieur
The aim of this paper is to study the construction of prospective mortality tables from a low number of persons subjected to risk. The presented models are the Lee-Carter and log-Poisson methods respectively. The low number of people subjected to ris
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______645::4438bb3e6e390afdf80ad009acd8dd81
http://arxiv.org/pdf/1001.1916
http://arxiv.org/pdf/1001.1916
In the framework of Embedded Value new standards, namely the MCEV norms, the latest principles published in June 2008 address the issue of market and underwriting risks measurement by using stochastic models of projection and valorization. Knowing th
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______645::84228376806ef10596476bcd79710535
http://arxiv.org/pdf/1001.1908
http://arxiv.org/pdf/1001.1908
The aim of this paper is to compare two asset allocation methods for a pension scheme during the decumulation phase in the simplified portfolio selection between a risky asset following a geometric Brownian motion and a riskless asset. The two asset
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______645::e781e0ea57efb1cd5092f3fe24185e04
http://arxiv.org/pdf/1001.1914
http://arxiv.org/pdf/1001.1914
The economic equities maximization criterion (MFPE) leads to the choice of financial portfolio, which maximizes the ratio of the expected value of the insurance company on the capital. This criterion is presented in the framework of a non-life insura
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______645::7afda9f200b1b2db49d257187b66ef94
http://arxiv.org/pdf/1001.1867
http://arxiv.org/pdf/1001.1867
In this paper, we present the principal components of an economic scenario generator (ESG), both for the theoretical design and for practical implementation. The choice of these components should be linked to the ultimate vocation of the economic sce
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______645::7e6c75a96a2738b82bee1c339b4a7a71
http://arxiv.org/pdf/0911.3472
http://arxiv.org/pdf/0911.3472