Λεπτομέρειες βιβλιογραφικής εγγραφής
| Τίτλος: |
A Functional-Analytic Framework for Sensitivity Analysis in Actuarial Valuation. |
| Συγγραφείς: |
Yeboah, Emmanuel Van1 (AUTHOR) |
| Πηγή: |
Risks. Aug2026, Vol. 14 Issue 8, p174. 12p. |
| Θεματικοί όροι: |
*Interest rates, *Insurance reserves, Sensitivity analysis, Nonlinear operators, Life expectancy, Differentiable functions, Actuarial science |
| Περίληψη: |
Actuarial valuation of long-duration insurance liabilities depends on assumptions regarding mortality, lapse behavior, and discount rates, making it important to understand how valuation outcomes respond to changes in these assumptions. Existing approaches primarily rely on stress testing, scenario analysis, and numerical sensitivity analysis, which provide limited theoretical insight into the stability and sensitivity of the valuation process. This paper formulates actuarial valuation as a nonlinear operator acting on a space of actuarial assumptions. We establish well-posedness, Lipschitz continuity, Fréchet differentiability, and second-order sensitivity expressions that characterize the response of valuation outcomes to simultaneous perturbations in mortality, lapse, and discount assumptions. The theoretical results are illustrated through a numerical example using mortality data from the Social Security Administration Actuarial Life Table, where the first- and second-order approximations closely match the exact perturbed valuations under the assumptions considered. The framework developed in this paper provides a new way to study how actuarial valuations respond to changes in mortality, lapse, and discount assumptions. [ABSTRACT FROM AUTHOR] |
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| Βάση Δεδομένων: |
Business Source Index |