Before revision: Using an extended version of the credit risk model CreditRisk^+ , we develop a flexible framework to estimate stochastic life tables and to model credit, life insurance and annuity portfolios , including actuarial reserves.
After revision: Using 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 , including actuarial reserves.