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Risk Decomposition for Annuity Portfolios

Title:

Risk Decomposition for Annuity Portfolios

Xie, Chengrong (2017) Risk Decomposition for Annuity Portfolios. Masters thesis, Concordia University.

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Abstract

A life annuity is a series of payments made at fixed intervals while the annuitant is alive. It has been a major part of actuarial science for a long time and it plays an important role in life insurance operations. In order to explore the interaction of various risks in an annuity portfolio, we decompose the liabilities by using the so called Martingale Representation Theorem (MRT) decomposition. The MRT decomposition satisfies all 6 meaningful properties proposed by Schilling et al. (2015).

Before presenting some numerical examples to illustrate its applicability, several stochastic mortality models are compared and the Renshaw–Haberman (RH) model is chosen as our projection model. Then we compare two one-factor short rate models and estimate the parameters of CIR model to construct the stochastic interest rate setting. Finally, we allocate risk capitals to risk factors obtained from the MRT decomposition according to the Euler principle and analyze them when the age of cohort and the deferred term change.

Divisions:Concordia University > Faculty of Arts and Science > Mathematics and Statistics
Item Type:Thesis (Masters)
Authors:Xie, Chengrong
Institution:Concordia University
Degree Name:M.A. Sc.
Program:Mathematics
Date:July 2017
Thesis Supervisor(s):Gaillardetz, Patrice
Keywords:MRT Decomposition
ID Code:982755
Deposited By: CHENGRONG XIE
Deposited On:17 Nov 2017 15:02
Last Modified:18 Jan 2018 17:55

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