, is the risk management of the embedded options by a tractable and realistic hedging strategy. The long maturity of life … explicitly taking into account ``model risk''. In this context, we show how to determine the contract parameters conservatively … and implement robust risk management strategies. This highlights the necessity of a careful choice of guarantees which are …

1 Introduction 11 1.1 Motivation 11 1.2 Pension insurance and riskmanagement 12 1.3 Solvency II 15 1.4 Value-at-Risk … 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 … Pension insurance applications 94 6.1 Introduction 94 6.2 Annuity premium and risk analysis for a cohort aged 65 95 6 …

Motivated by a recent demographic study establishing a link between macroeconomic fluctuations and the mortality index … company. Liabilities in our stochastic simulation framework are driven by a GDP-linked variant of the Lee-Carter mortality … stochastic process. Our results show that insolvency probabilities are significantly higher when the reaction of mortality rates …

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 … respect to misspecification of the mortality intensity. The model risk resulting from the uncertain mortality intensity is of …

We study the implications of the value at risk concept for the bank's optimum amount of equity capital under credit … risk. The market value of loans is risky and lognormally distributed. We show that the required equity capital depends upon …

The current subprime crisis has prompted us to look again into the nature of risk at the tail of the distribution. In … particular, we investigate the risk contribution of an asset, which has infrequent but huge losses, to a portfolio using two risk … measures, namely Value-at-Risk (VaR) and Expected Shortfall (ES). While ES is found to measure the tail risk contribution …

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 … environment in which firms operate. Corporate managers, however, rank risk management as one of their most important objectives …

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 … towards risk. …

additional delivery risk on hedgers. This paper derives the optimal production and futures hedging strategy for a risk …-averse competitive firm in the presence of delivery risk. We show that, depending on its relative valuation, the delivery option may … induce the firm to produce more than in the absence of delivery risk. If delivery risk is additively related to commodity …