We consider a two-dimensional risk model with simultaneous Poisson arrivals of claims. Each claim of the first input …

This paper captures and measures the longevity risk generated by an annuity product. The longevity risk is materialized … the solvency capital (SC) of an insurer selling such a product within a single risk setting for three different life …

framework is model-free and allows for stresses on the output such as (a) the mean and variance, (b) any distortion risk measure … including the Value-at-Risk and Expected-Shortfall, and (c) expected utility type constraints, thus making the reverse … sensitivity analysis framework suitable for risk models. …

While a lot of research concentrates on the respective merits of VaR and TCE, which are the two most classic risk …. In this paper, we introduce a new risk indicator that extends TCE to take into account higher-order risks. We compare the …

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

The present study aims at modelling market risk for four commodities, namely West Texas Intermediate (WTI) crude oil …, natural gas, gold and corn for the period 2007-2017. To this purpose, we use Extreme Value Theory (EVT) together with a set of … Conditional Auto-Regressive Logit (CARL) models to predict risk measures for the futures return series of the considered …

with sustainable practices. This paper introduces Sensitivity Value-at-Risk (SensitivityVaR), an advanced distortion risk … measure that combines Value-at-Risk (VaR) and Expected Shortfall (ES) with the Cornish-Fisher expansion. SensitivityVaR … provides a more robust framework for managing risk, particularly under extreme market conditions. By incorporating first- and …

-dimensional risk process, where claims and premiums are shared with a predetermined proportion. This type of process is often called … risk process with a Brownian motion with drift. By applying this idea to the insurer-reinsurer model, we obtain simple ruin …

We analyse four stochastic claims reserving methods in terms of their capability to estimate reserve risk and how … claim triangles support our results. The appropriateness of the Solvency II risk margin on a one-year horizon and of the … IFRS 17 risk adjustment in the long run largely vary by the chosen risk model. Despite the fact that IFRS 17 does not …