Despite an extensive body of research, the best way to model the dependence of exchange rates remains an open question. In this paper we present a new approach which employs a flexible time-varying copula model. It allows the conditional correlation between exchange rates to be both time-varying...

Abstract For solvency purposes insurance companies need to calculate so-called best-estimate reserves for outstanding loss liability cash flows and a corresponding risk margin for non-hedgeable insurance-technical risks in these cash flows. In actuarial practice, the calculation of the risk...

This article discusses issues common to the pricing of both insurance and finance. These include increasing collaboration between insurance companies and banks, deregulation of various insurance and finance markets, integrated risk management, and the emergence of financial engineering as a new...