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    This article has been cited by the following publications. This list is generated based on data provided by CrossRef.

    Joshi, Mark S. and Zhu, Dan 2016. THE EFFICIENT COMPUTATION AND THE SENSITIVITY ANALYSIS OF FINITE-TIME RUIN PROBABILITIES AND THE ESTIMATION OF RISK-BASED REGULATORY CAPITAL. ASTIN Bulletin, Vol. 46, Issue. 02, p. 431.


    Hardy, Mary R. 2014. Wiley StatsRef: Statistics Reference Online.


    Hardy, Mary R. 2014. Wiley StatsRef: Statistics Reference Online.


    Hardy, Mary R. 2004. Encyclopedia of Actuarial Science.


    Hardy, Mary R. 2004. Encyclopedia of Actuarial Science.


    Berketi, Alexandra K and Macdonald, Angus S 1999. The effect of the nature of the liabilities on the solvency and maturity payouts of a UK life office fund: a stochastic evaluation. Insurance: Mathematics and Economics, Vol. 24, Issue. 1-2, p. 117.


    Boyle, Phelim P. and Hardy, Mary R. 1997. Reserving for maturity guarantees: Two approaches. Insurance: Mathematics and Economics, Vol. 21, Issue. 2, p. 113.


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Stochastic simulation in life office solvency assessment

Abstract
Abstract

In this paper an asset/liability model is used to compare the quality of information available from a set of stochastic simulations with a traditional deterministic sensitivity test approach.

The traditional approach applied to a range of variants of the basic model office fails to distinguish adequately very risky strategies from relatively secure strategies. The stochastic simulation method succeeds in ranking the various strategies considered into an intuitively satisfactory order of insolvency risk, as well as giving quantitative information on the relative probabilities of insolvency of different strategies and on the timing of potential solvency problems.

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Journal of the Institute of Actuaries
  • ISSN: 0020-2681
  • EISSN: 2058-1009
  • URL: /core/journals/journal-of-the-institute-of-actuaries
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