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- W2004209413 abstract "We analyze the evolution over time of portfolios of life insurance contracts referring to different cohorts or risk classes of insureds. We model the intensity of mortality as a random field, in order to capture cross-generations (risk classes) effects induced by the on-going management of portfolios of policies. Applications of the setup are described in the context of mortality risk analysis and (market) valuation of liabilities at aggregate level. It is finally shown how the model can be employed when the insurer's new business is considered." @default.
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- W2004209413 date "2006-01-01" @default.
- W2004209413 modified "2023-10-17" @default.
- W2004209413 title "A Bidimensional Approach to Mortality Risk" @default.
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- W2004209413 doi "https://doi.org/10.2139/ssrn.647423" @default.
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