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 … mortality model and premium principle choice on the pricing, risk measurement, and modeling of survivor contracts. We present a …

obligations to policyholders and beneficiaries. The solvency capital requirement is a risk management tool essential for … level of risk. Our starting point is to use a hierarchical risk aggregation method which was initially based on two … reinsurance in reducing the insurance company's business risk and its effect on diversification. The results show that reinsurance …

idiosyncratic risk factors and are conditionally independent given the systematic factors. The joint two-dimensional limit …

This paper uses survival analysis as a tool to assess credit risk in loan portfolios within the framework of the Basel …'s loss process, we show how to empirically estimate key risk measures-such as Value at Risk (VaR) and Expected Shortfall (ES … risk measures evolve over the loans' life cycles. Our approach emphasizes the significant dependence of risk metrics on …