The world in which we live is stochastic. Risks are becoming more and more complex because of their interconnectedness and the faster time scale at which we need to react to them. In order to cope with more complex risks, risk management should combine a scientific approach with a wide vision of reality. In particular, the need for having a good grasp of the degree of dependence between various risks is becoming more and more relevant and has been emphasized also by the current solvency regulations. We take the life (re)insurance companies perspective and study the relationship between their primary sources of risk: mortality and interest rate risks. We explore this through the Feller process applied to both mortality indices and interest rates of 10 countries.
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|Titolo:||A Comprehensive Study of Mortality Dynamics in Ten Developed Countries Using the Feller Process|
|Data di pubblicazione:||2016|
|Appartiene alla tipologia:||04b Atto di convegno in volume|