英文标题：
《Risk aggregation and stochastic claims reserving in disability insurance》
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作者：
Boualem Djehiche and Bj\\\"orn L\\\"ofdahl
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最新提交年份：
2014
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英文摘要：
  We consider a large, homogeneous portfolio of life or disability annuity policies. The policies are assumed to be independent conditional on an external stochastic process representing the economic-demographic environment. Using a conditional law of large numbers, we establish the connection between claims reserving and risk aggregation for large portfolios. Further, we derive a partial differential equation for moments of present values. Moreover, we show how statistical multi-factor intensity models can be approximated by one-factor models, which allows for solving the PDEs very efficiently. Finally, we give a numerical example where moments of present values of disability annuities are computed using finite difference methods and Monte Carlo simulations.
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中文摘要：
我们考虑一个大型、同质的人寿或残疾年金政策组合。假设这些政策独立于代表经济人口环境的外部随机过程。利用条件大数定律，我们建立了大型投资组合的索赔准备金和风险集合之间的联系。进一步，我们推导了一个关于现值矩的偏微分方程。此外，我们还展示了如何用单因子模型来近似统计多因子强度模型，从而可以非常有效地求解偏微分方程。最后，我们给出了一个使用有限差分法和蒙特卡罗模拟计算残疾年金现值矩的数值例子。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Risk Management        风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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