In this paper, we address the mortality risk of individuals and adopt parsimonious time- homogeneous a±ne processes for their mortality intensities. We calibrate the models to different generations in the UK population and investigate their empirical appropriateness. We find that, in spite of...

In a recently reprinted paper Borch wonders whether an increase in loadings, together with a consequent increase in deductibles, may start a vicoius circle, ad infinitum. This paper rules out the possibility of a vicious circle, in a model à la Borch. First of all, in his setting, increases in...

The most common approach for default dependence modelling is at present copula functions. Within this framework, the paper examines factor copulas, which are the industry standard, together with their latest development, namely the incorporation of sudden jumps to default instead of a pure...

This paper studies the dependence between coupled lives, i.e., the spouses' dependence, across different generations, and its effects on prices of reversionary annuities in the presence of longevity risk. Longevity risk is represented via a stochastic mortality intensity. We find that a...

Financial Risk Measurement is a challenging task, because both the types of risk and the techniques evolve very quickly. This book collects a number of novel contributions to the measurement of financial risk, which address either non-fully explored risks or risk takers, and does so in a wide...