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Measuring and modeling market risk for life insurance company assets: An application of extreme value statistics

机译：衡量和建模市场风险终身保险公司资产：极值统计的应用

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作者
Timmer, Ryan.;
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作者单位

Michigan State University.;

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授予单位 Michigan State University.;
学科
学位 Ph.D.
年度 2015
页码 188 p.
总页数 188
原文格式 PDF
正文语种 eng
中图分类
关键词
Asset allocation; Life insurance; Tail risk; Vine copulas;

机译：资产分配;人寿保险;尾巴风险;藤币;

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1. Impacts of the regulatory model for market risk capital: application in a special savings company, an insurance company, and a pension fund [J] . Betty Lilian Chan, Felipe Tumenas Marques Revista Contabilidade & Finanas . 2017,第75期

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2. Asset liability management model with decision support system for life insurance companies: Computational results [J] . Dutta Goutam, Rao Harish V., Basu Sankarshan, Computers & Industrial Engineering . 2019,第FEBa期

机译：具有决策支持系统的人寿保险公司资产负债管理模型：计算结果
3. Indifference pricing of a life insurance portfolio with systematic mortality risk in a market with an asset driven by a Lvy process [J] . ukasz Delong Scandinavian Actuarial Journal . 2009,第1期

机译：具有Lvy流程驱动资产的市场中具有系统性死亡风险的人寿保险投资组合的无差别定价
4. INSURANCE MODELS AS AN APPROPRIATE MEASURE FOR RISK BASED ASSET MANAGEMENT IN THE COMPETITIVE EUROPEAN ELECTRICITY MARKET [C] . B. BUCHHOLZ, H.-J. KOGLIN, J. NILGES, Cigre 2002 session . 2002

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5. Information Theoretic Approach to Statistics of Extremes: With Applications in Risk Analysis, Insurance and Environment [D] . Jambal, Ganbaatar. 2018

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6. Mortality from congenital malformations of the central nervous system in Norway 1951-65. Life insurance companies institute for medical statistics at the Oslo city hospitals report no. 12. [O] . K Westlung 1969

机译：1951-65年挪威中枢神经系统先天畸形致死。奥斯陆市医院的人寿保险公司医学统计研究所报告号为： 12
7. Development of model for insurance risk management and its application to insurance companies operating in the Serbian market [O] . Mirjana M. Ilic, Veselin Avdalovic, Milica D. Obadovic 100

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Measuring and modeling market risk for life insurance company assets: An application of extreme value statistics

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