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