accumulative losses for insurers. As obvious risk management tools such as (re)insurance or hedging are less suited to manage an … especially its aggregate form, i.e. the risk of unsystematic changes to general mortality patterns, bears a large potential for … contingent on actual mortality experience, and it also details actuarial aspects of implementation. Similar adaptations to …

Motivated by a recent demographic study establishing a link between macroeconomic fluctuations and the mortality index … kt in the Lee-Carter model, we assess the impact of macroeconomic fluctuations on the solvency of a life insurance … company. Liabilities in our stochastic simulation framework are driven by a GDP-linked variant of the Lee-Carter mortality …

1 Introduction 11 1.1 Motivation 11 1.2 Pension insurance and riskmanagement 12 1.3 Solvency II 15 1.4 Value … specification and estimation 51 3.4 Parameter uncertainty 57 4 Mortality model 66 4.1 Introduction 66 4.2 Data 67 4.3 Review of the …

We study the valuation and hedging of unit-linked life insurance contracts in a setting where mortality intensity is … governed by a stochastic process. We focus on model risk arising from different specifications for the mortality intensity. To … do so we assume that the mortality intensity is almost surely bounded under the statistical measure. Further, we restrict …

and retrocession practices in the reinsurance industry expose different reinsurers to the same subexponential risks on …

, is the risk management of the embedded options by a tractable and realistic hedging strategy. The long maturity of life …

Finance theory does not provide a comprehensive framework for explaining risk management within the imperfect financial … corporate hedging: equity value maximising strategies and strategies determined by managerial risk aversion. The first category … distress and costs of external finance or to replace home-made hedging by shareholders. The second category considers that …

currency hedging strategies, for a series of 7 models,using Bayesian inference and decision analysis. The models differ in the … comparethe hedging decisions and financial returns and utilities as they result from the modellingassumptions and the attitudes …