In this paper, we study a risk model with stochastic premium income and its impact on solvency risk management. It is assumed that both the premium arrival process and the claim arrival process are modelled by homogeneous Poisson processes, and that the premium amounts are modelled by...

In this paper, we address the identification and estimation of insurance models where insurees have private information about their risk and risk aversion. The model includes random damages and allows for several claims, while insurees choose from a finite number of coverages. We show that the...

Global events and geopolitical upheavals, from the COVID-19 pandemic to the US-China trade conflict and Russia-Ukraine war, have propelled the world towards geoeconomic fragmentation. This trend is exemplified by shifts away from free trade and globally integrated supply chains in favour of...

Insurance companies need to calculate solvency capital requirements in order to ensure that they can meet their future obligations to policyholders and beneficiaries. The solvency capital requirement is a risk management tool essential for addressing extreme catastrophic events that result in a...

As life expectancy increases, pension plans face growing longevity risk. Standardized longevity-linked securities such as survivor contracts allow pension plans to transfer this risk to capital markets. However, more consensus is needed on the appropriate mortality model and premium principle to...

This study examines the geographical spillover of the state-level average homeowners insurance cost for 48 US contiguous states. We estimate a panel spatial Durbin model with state and year fixed effect for data between 2001 and 2018. We found a significant positive spillover of average...

Longevity risk affecting older adults can be transferred to the insurance market by purchasing a lifetime annuity. Special-rate life annuities, which are priced, among other factors, on the basis of health and lifestyle factors, go beyond traditional considerations of age and sex by using...

This paper proposes a possible EU-level solution to address the widening gap in natural catastrophe insurance protection in Europe. Increased economic exposure and the growing frequency and severity of natural catastrophes linked to climate change have been driving up the cost of natural...

This paper examines the potential role of higher education subsidies as an insurance device against the risk of having a short life, that is, as a device reducing the variance in lifetime well-being due to unequal longevities. We use a two-period dynamic OLG economy with human capital and risky...

This work provides an economic exploration of the multifaceted world of medical malpractice risk. Third party liability insurance plays a central role in protecting healthcare providers and public care institutions from the financial consequences of medical malpractice claims, although in recent...

This study examines the effect of the investment portfolio structure on insurers' solvency, as measured by the Solvency Capital Requirement ratio. An empirical sample of 88 EU-based insurance groups was analyzed to provide robust evidence of the portfolio's impact on the Solvency Capital...

We consider a two-dimensional risk model with simultaneous Poisson arrivals of claims. Each claim of the first input process is at least as large as the corresponding claim of the second input process. In addition, the two net cumulative claim processes share a common Brownian motion component....