Reflections on resilience: some considerations of mismatching tests, with particular reference to non-linked long-term insurance business
The paper considers the valuation for solvency purposes of traditional long-term insurance business. It concentrates on without-profit business, and discusses the reserves that are required to protect against the contingency of sudden adverse changes in asset values (the ‘mismatching’ or ‘resilience...
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| Veröffentlicht in: | Journal of the Institute of Actuaries 1989-12, Vol.116 (3), p.347-452 |
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| container_end_page | 452 |
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| container_title | Journal of the Institute of Actuaries |
| container_volume | 116 |
| creator | Purchase, D. E. Fine, A. E. M. Headdon, C. P. Hewitson, T. W. Johnson, C. M. Lumsden, I. C. Maple, M. H. O'Keeffe, P. J. L. Pook, P. J. Robinson, D. G. |
| description | The paper considers the valuation for solvency purposes of traditional long-term insurance business. It concentrates on without-profit business, and discusses the reserves that are required to protect against the contingency of sudden adverse changes in asset values (the ‘mismatching’ or ‘resilience’ test). The details of a suitable test, and a method of applying it in practice using a ‘matching rectangle’, are described. Investigations into the effectiveness of such a test, using both deterministic and stochastic methods, are followed by concluding remarks on the underlying philosophical issues raised. Full numerical results are presented in the Appendices. |
| doi_str_mv | 10.1017/S0020268100036659 |
| format | Article |
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Actuar</addtitle><date>1989-12</date><risdate>1989</risdate><volume>116</volume><issue>3</issue><spage>347</spage><epage>452</epage><pages>347-452</pages><issn>0020-2681</issn><eissn>2058-1009</eissn><abstract>The paper considers the valuation for solvency purposes of traditional long-term insurance business. It concentrates on without-profit business, and discusses the reserves that are required to protect against the contingency of sudden adverse changes in asset values (the ‘mismatching’ or ‘resilience’ test). The details of a suitable test, and a method of applying it in practice using a ‘matching rectangle’, are described. Investigations into the effectiveness of such a test, using both deterministic and stochastic methods, are followed by concluding remarks on the underlying philosophical issues raised. 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| fulltext | fulltext |
| identifier | ISSN: 0020-2681 |
| ispartof | Journal of the Institute of Actuaries, 1989-12, Vol.116 (3), p.347-452 |
| issn | 0020-2681 2058-1009 |
| language | eng |
| recordid | cdi_crossref_primary_10_1017_S0020268100036659 |
| source | Alma/SFX Local Collection |
| subjects | Actuarial liability Actuarial science Business structures Cash flow Corporate liability Pension liabilities Solvency Tax liabilities Valuation Yield |
| title | Reflections on resilience: some considerations of mismatching tests, with particular reference to non-linked long-term insurance business |
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