Christiansen, Marcus C.; Steffensen, Mogens Safe-side scenarios for financial and biometrical risk. (English) Zbl 1290.91083 Astin Bull. 43, No. 3, 323-357 (2013). Suppose that a life insurance policy is driven by a jump process \(X\) with a finite state space \(S\), transition space \(J\subset S^2\), and some deterministic starting value. Usually, calculations of premiums, reserves and capital requirements for the life insurance policy are based on the “bad-case” assumptions on interest rates, mortality rates and transition rates between states. The paper explains how one can find deterministic “bad-case” scenarios when the interest and transition rates are mutually dependent. The presented approach is relevant for internal models in Solvency II. Reviewer: Jonas Šiaulys (Vilnius) Cited in 5 Documents MSC: 91B30 Risk theory, insurance (MSC2010) 91G10 Portfolio theory 91G50 Corporate finance (dividends, real options, etc.) 90C39 Dynamic programming 60J75 Jump processes (MSC2010) Keywords:worst-case scenarios; interest and transition rates; first-order basis; capital requirement PDF BibTeX XML Cite \textit{M. C. Christiansen} and \textit{M. Steffensen}, ASTIN Bull. 43, No. 3, 323--357 (2013; Zbl 1290.91083) Full Text: DOI References: [1] DOI: 10.1007/s007800050067 · Zbl 0939.62108 [2] Journal of Risk 1 pp 33– (1999) [3] DOI: 10.1016/j.insmatheco.2011.12.005 · Zbl 1237.91135 [4] DOI: 10.1016/j.insmatheco.2011.08.001 · Zbl 1228.91041 [5] DOI: 10.1016/j.insmatheco.2008.10.006 · Zbl 1160.91370 [6] Journal of Derivatives 6 pp 7– (1998) [7] DOI: 10.1016/j.insmatheco.2008.12.004 · Zbl 1162.91417 [8] Transactions of the 23rd International Congress of Actuaries pp 171– (1988) [9] DOI: 10.1016/j.insmatheco.2011.06.001 · Zbl 1228.91037 [10] DOI: 10.1016/j.insmatheco.2008.10.005 [11] DOI: 10.1007/s13385-011-0009-1 [12] The Handbook of Fixed Income Securities (2005) [13] DOI: 10.1016/j.insmatheco.2010.05.002 · Zbl 1231.91165 [14] DOI: 10.1016/j.insmatheco.2007.07.005 · Zbl 1152.91573 [15] DOI: 10.1080/03461230802550649 · Zbl 1224.91150 [16] DOI: 10.1080/03461230802173608 · Zbl 1224.91048 [17] DOI: 10.1016/j.insmatheco.2011.11.008 · Zbl 1235.91085 [18] ASTIN Bulletin 40 pp 587– (2010) [19] Journal of Risk 2 pp 1– (2000) [20] Derivatives Quarterly 7 pp 44– (2001) [21] DOI: 10.1016/j.jbankfin.2007.12.041 [22] DOI: 10.1016/S0167-6687(97)00020-6 · Zbl 0943.62104 This reference list is based on information provided by the publisher or from digital mathematics libraries. Its items are heuristically matched to zbMATH identifiers and may contain data conversion errors. It attempts to reflect the references listed in the original paper as accurately as possible without claiming the completeness or perfect precision of the matching.