In disability insurance, the impact of the duration since the inception of disability on future recovery and mortality rates has been modeled by bivariate Markov renewal processes and the associated semi-Markov process, but these processes do not incorporate potential dependences between the...

In this paper, we discuss three different approaches to select an equivalent martingale measure for the valuation of contingent claims under a Markovian regime-switching Lévy model. These approaches are the game theoretic approach, the Esscher transformation approach and the general equilibrium...

In this paper, we study a bivariate shot noise self-exciting process. This process includes both externally excited joint jumps, which are distributed according to a shot noise Cox process, and two separate self-excited jumps, which are distributed according to the branching structure of a...

We consider the problem of computing fair periodical premiums of equity-linked policies with a minimum guarantee. The policy payoff at maturity may be decomposed into two components: a fixed part representing the guaranteed payment and a European call option written on the equity reference fund....

The increasing number of natural catastrophes like floods, hurricanes, and earthquakes not only causes many victims, but also leads to severe production, infrastructure, and individual property losses. Classic insurance mechanisms may be inadequate for dealing with such losses because of the...

This paper analyzes an individual’s post-retirement longevity risk management strategy allowing for systematic longevity risk, recent product innovations, and product loadings. A complete-markets discrete state model and multi-period simulations of portfolio strategies are used to assess...

This paper proposes a unified framework for measuring and managing longevity risk. Specifically, we develop a flexible framework for valuing survivor derivatives like forwards, and swaps, as well as options both of European and American style. Our framework is essentially independent of the...

This paper considers the optimal investment problem for an insurer that invests in cointegrated assets subject to the random payments of insurance claims. The insurer’s objective is to maximize the expected utility of the terminal wealth subject to the cointegration dynamics of risky assets...

It is often natural to consider defective or killed stochastic processes. Various observations continue to hold true for this wider class of processes yielding more general results in a transparent way without additional effort. We illustrate this point with an example from risk theory by...

Most of the studies on optimal reinsurance are from the viewpoint of the insurer and the optimal ceded functions always turn out to be convex. However reinsurance contracts always involve a limit on the ceded loss function in practice, thus it may not be enough to confine the analysis to the...