Actuarial Applications and Estimation of Extended CreditRisk+
AbstractWe introduce an additive stochastic mortality model which allows joint modelling and forecasting of underlying death causes. Parameter families for mortality trends can be chosen freely. As model settings become high dimensional, Markov chain Monte Carlo (MCMC) is used for parameter estimation. We then link our proposed model to an extended version of the credit risk model CreditRisk+. This allows exact risk aggregation via an efficient numerically stable Panjer recursion algorithm and provides numerous applications in credit, life insurance and annuity portfolios to derive P&L distributions. Furthermore, the model allows exact (without Monte Carlo simulation error) calculation of risk measures and their sensitivities with respect to model parameters for P&L distributions such as value-at-risk and expected shortfall. Numerous examples, including an application to partial internal models under Solvency II, using Austrian and Australian data are shown. View Full-Text
- Supplementary File 1:
ZIP-Document (ZIP, 2898 KB)
A printed edition of this Special Issue is available here.
Share & Cite This Article
Hirz, J.; Schmock, U.; Shevchenko, P.V. Actuarial Applications and Estimation of Extended CreditRisk+. Risks 2017, 5, 23.
Hirz J, Schmock U, Shevchenko PV. Actuarial Applications and Estimation of Extended CreditRisk+. Risks. 2017; 5(2):23.Chicago/Turabian Style
Hirz, Jonas; Schmock, Uwe; Shevchenko, Pavel V. 2017. "Actuarial Applications and Estimation of Extended CreditRisk+." Risks 5, no. 2: 23.
Note that from the first issue of 2016, MDPI journals use article numbers instead of page numbers. See further details here.