Longevity risk constitutes an important risk factor for life insurance companies, and it can be managed through longevity-linked securities. The market of longevity-linked securities is at present far from being complete and does not allow finding a unique pricing measure. We propose a method to...

The primary objective of this work is to analyze model based Value-at-Risk associated with mortality risk arising from issued term life assurance contracts and to compare the results with the capital requirements for mortality risk as determined using Solvency II Standard Formula. In particular,...

The aim of this paper is to provide a stochastic model useful for assessing the capital requirement for demographic risk in a framework coherent with the Solvency II Directive. The model extends to the market consistent context classical methodologies developed in a local accounting framework....

We investigate the relation between one-year reserve risk and ultimate reserve risk in Mack Chain Ladder model in a simulation study. The first goal is to validate the so-called linear emergence pattern formula, which maps the ultimate loss to the one-year loss, in case when we measure the risks...

Financial stability is the key objective that sustains and empowers investments and economic groth, or scatters the opportunities when lacking. As growth translates to profitability, and profitability is dependent upon solvalibility, the need for a deep knowledge of all potential risks surfaces....

Annuities providers become more and more exposed to longevity risk due to the increase in life expectancy. To hedge this risk, new longevity derivatives have been proposed (longevity bonds, q-forwards, S-swaps…). Although academic researchers, policy makers and practitioners have talked about...

The valuation of insurance liabilities has traditionally been dealt with by actuaries, who closely monitored underlying illiquid features, assumed a long-term perspective, and exercised their own subjective, expert judgment. However, the new EU regulatory regime of Solvency II (S2) has come to...

In August 2020 we published "Comprehensive Internal Model Data for Three Portfolios" as an outcome of our work for the committee "Actuarial Data Science" of the German Actuarial Association. The data sets include realistic cash-flow models outputs used for proxy modelling of life and health...

Most insurers in the European Union determine their regulatory capital requirements based on the standard formula of Solvency II. However, there is evidence that the standard formula inaccurately reflects insurers' risk situation and may provide misleading steering incentives. In the second...

This study investigates the factors driving the development of the UK equity release market. The results of a thematic review of semi-structured interviews with industry stakeholders (comprising senior representatives of product providers, advice providers and regulators) suggest that the...