We are interested in modeling the mortality of long-term care (LTC) claimants having the same level of severeness (heavy claimant). Practitioners often use empirical methods that rely heavily on expert opinions. We propose approaches not depending on an expert’s advice. We analyze the...

In this paper,11Version of 2012/07/08. we are interested in the optimization of computing time when using Monte-Carlo simulations for the pricing of the embedded options in life insurance contracts. We propose a very simple method which consists in grouping the trajectories of the initial...

In this paper, we are interested in hedging strategies which allow the insurer to reduce the risk to their portfolio of unit-linked life insurance contracts with minimum death guarantee. Hedging strategies are developed in the Black and Scholes model and in the Merton jump-diffusion model....

Business and credit cycles have an impact on credit insurance, as they do on other businesses. Nevertheless, in credit insurance, the impact of the systemic risk is even more important and can lead to major losses during a crisis. Because of this, the insurer surveils and manages policies almost...

Maintaining retirement systems stability is nowadays a big challenge for all countries. Such sustainability is widely related to a set of time-varying elements that include population structure, longevity, employment, and affiliation to social security. For the case of Algeria, public retirement...