We consider a large insurance company whose reserve is modeled by a diffusion process. The management of the insurance company makes a decision on reinsurance in order to reduce the insurance risk. An optimal decision is the one which minimizes the expected time to reach a goal before the...

We consider the problem of optimally designing longevity risk transfers under asymmetric information. We focus on holders of longevity exposures that have superior knowledge of the underlying demographic risks, but are willing to take them off their balance sheets because of capital...

Although annuities provide longevity insurance that should be attractive to households facing an uncertain lifespan, rates of voluntary annuitization remain extremely low. We evaluate the Advanced Life Deferred Annuity, an annuity purchased at retirement, providing an income commencing in...

A multivariate distribution possessing arbitrarily parameterized Pareto margins is formulated and studied. The distribution is believed to allow for an adequate modeling of dependent heavy tailed risks with a non-zero probability of simultaneous loss. Numerous links to certain existing...

In this paper, we extend the Cramér-Lundberg insurance risk model perturbed by diffusion to incorporate stochastic volatility and study the resulting Gerber-Shiu expected discounted penalty (EDP) function. Under the assumption that volatility is driven by an underlying Ornstein-Uhlenbeck (OU)...

We introduce an algebraic operator framework to study discounted penalty functions in renewal risk models. For inter-arrival and claim size distributions with rational Laplace transform, the usual integral equation is transformed into a boundary value problem, which is solved by symbolic...

We present a Bayesian approach to pricing longevity risk under the framework of the Lee-Carter methodology. Specifically, we propose a Bayesian method for pricing the survivor bond and the related survivor swap designed by Denuit et al. (2007). Our method is based on the risk neutralization...

This paper proposes a stochastic mortality model featuring both permanent longevity jump and temporary mortality jump processes. A trend reduction component describes unexpected mortality improvement over an extended period of time. The model also captures the uneven effect of mortality events...

The purpose of this study is to analyze the securitization of longevity risk with an emphasis on longevity risk modeling and longevity bond premium pricing. Various longevity derivatives have been proposed, and the capital market has experienced one unsuccessful attempt by the European...