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Model points and Tail-VaR in life insurance

par Denuit, Michel ;Trufin, Julien
Référence Insurance. Mathematics & economics, 64, page (268-272)
Publication Publié, 2015-06-24

Article révisé par les pairs

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Résumé :

Often, actuaries replace a group of heterogeneous life insurance contracts (different age at policy issue, contract duration, sum insured, etc.) with a representative one in order to speed the computations. The present paper aims to homogenize a group of policies by controlling the impact on Tail-VaR and related risk measures.