Model points and Tail-VaR in life insurance

Denuit, Michel;Trufin, Julien
(2014)

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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.
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Denuit, M., & Trufin, J. (2014). Model points and Tail-VaR in life insurance (ISBA Discussion Paper 2014/54). https://hdl.handle.net/2078.5/191850