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First-Order Mortality Rates and Safe-Side Actuarial Calculations in Life Insurance

Published online by Cambridge University Press:  09 August 2013

Marcus C. Christiansen  and
Michel M. Denuit
Marcus C. Christiansen
Affiliation:
Institut für Versicherungswissenschaften, Universität Ulm, D-89069 Ulm, Germany
Michel M. Denuit
Affiliation:
Institut de Statistique, Biostatistique et Sciences Actuarielles, Université Catholique de Louvain, B-1348 Louvain-la-Neuve, Belgium
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Abstract

In this paper, we discuss how to define conservative biometric bases in life insurance. The first approach is based on cumulative hazard (or survival probabilities), the second one on the hazard itself, and the third one on the rate of increase of the hazard. The second case has been studied in the literature and the sum-at-risk plays a central role in defining safe-side requirements. The two other cases appear to be new and concepts related to sum-at-risk are defined.

Keywords

Variations in the technical basiscalculating on the safe sideSolvency IIfirst-order basissecond-order basissum at risk
Type
Research Article
Information
ASTIN Bulletin: The Journal of the IAA , Volume 40 , Issue 2 , November 2010 , pp. 587 - 614
Copyright
Copyright © International Actuarial Association 2010

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