To offer a means for insurance companies to deal with longevity risk, this article investigates a natural hedging strategy and attempts to find an optimal allocation of insurance products. Unlike prior research, this proposed natural hedging model can account for both the variance and mispricing...

When decision makers invest in effort to reach their targets, they face multiple sources of risk: first the risk of failure and second the noise that surrounds either the target or the initial situation. In this paper, we examine how effort is adjusted to account for changes in this risky...

The aim of this paper is to expand on recent contributions in the field of risk modelling for non-life insurance companies by modelling insurance risk in a multi-year context. Academic literature on non-life insurance risk to date has only considered an ultimo perspective (using traditional...

The constant proportion portfolio insurance is analyzed by assuming that the risky asset price follows a regime switching exponential Lévy process. Analytical forms of the shortfall probability, expected shortfall and expected gain are derived. The characteristic function of the gap risk is...

We compare cliquet-style interest rate guarantees used in German participating life insurance contracts across different economic environments. These guarantees are proportional to the average market interest rate at contract inception and typically set at 60% of the 10-year rolling average of...

In this paper, we study the price of Variable Annuity Guarantees, particularly those of Guaranteed Annuity Options (GAO) and Guaranteed Minimum Income Benefit (GMIB), in the settings of a derivative pricing model where the underlying spot (the fund) is locally governed by a geometric Brownian...

Following the framework of Promislow and Young (2005), this paper considers an optimal investment–reinsurance problem of an insurer facing a claim process modeled by a Brownian motion with drift under the Markowitz mean–variance criterion. The market modes are divided into a finite number of...

This paper studies the stochastic modeling of market drawdown events and the fair valuation of insurance contracts based on drawdowns. We model the asset drawdown process as the current relative distance from the historical maximum of the asset value. We first consider a vanilla insurance...

In this paper, we obtain the finite-horizon and infinite-horizon ruin probability asymptotics for risk processes with claims of subexponential tails for non-stationary arrival processes that satisfy a large deviation principle. As a result, the arrival process can be dependent, non-stationary...

We model reinsurance as a stochastic cooperation game in a continuous-time framework. Employing stochastic control theory and dynamic programming techniques, we study Pareto-optimal solutions to the game and derive the corresponding Hamilton–Jacobi–Bellman (HJB) equation. After analyzing the...