For longevity bond pricing, the most popular methods contain the risk-neutral method, the Wang transform and the Sharpe ratio rule. This paper studies robustness of these three methods and investigates connections and differences among them through theoretic analysis and numerical illustrations....

It is common actuarial practice to calculate premiums and reserves under a set of biometric assumptions that represent a worst-case scenario for the insurer. The new solvency regime of the European Union (Solvency II) also uses worst-case scenarios for the calculation of solvency capital...

An elementary proof is presented to show that a connection exists between the Esscher-Girsanov transform and the Wang transform.

We study an insurance model where the risk can be controlled by reinsurance and investment in the financial market. We consider a finite planning horizon where the timing of the events, namely the arrivals of a claim and the change of the price of the underlying asset(s), corresponds to a...

In this article, we characterize comonotonicity and related dependence structures among several random variables by the distribution of their sum. First we prove that if the sum has the same distribution as the corresponding comonotonic sum, then the underlying random variables must be...

Dynamic life tables arise as an alternative to the standard (static) life table, with the aim of incorporating the evolution of mortality over time. The parametric model introduced by Lee and Carter in 1992 for projected mortality rates in the US is one of the most outstanding and has been used...

Herein, we study the optimization problem faced by an insurance firm who can control its cash-balance dynamics by adjusting the underlying premium rate. The firm's objective is to minimize the total deviation of its cash-balance process to some pre-set target levels by selecting an appropriate...

This paper investigates an investment-reinsurance problem for an insurance company that has a possibility to choose among different business activities, including reinsurance/new business and security investment. Our main objective is to find the optimal policy to minimize its probability of...

In this paper we use an intensity-based framework to analyze and compute the correlated default probabilities, both in finance and actuarial sciences, following the idea of "change of measure" initiated by Collin-Dufresne et al. (2004). Our method is based on a representation theorem for joint...

In this paper we discuss the asymptotic behaviour of random contractions X=RS, where R, with distribution function F, is a positive random variable independent of S[set membership, variant](0,1). Random contractions appear naturally in insurance and finance. Our principal contribution is the...