Showing 1 - 10 of 40
Mortality risk models have been developed to capture trends and common factors driving mortality improvement. Multiple factor models take many forms and are often developed and fitted to older ages. In order to capture trends from young ages it is necessary to take into account the richer age...
Persistent link: https://www.econbiz.de/10010551692
This paper considers the pricing of contingent claims using an approach developed and used in insurance pricing. The approach is of interest and significance because of the increased integration of insurance and financial markets and also because insurance-related risks are trading in financial...
Persistent link: https://www.econbiz.de/10005495386
Persistent link: https://www.econbiz.de/10005375000
Persistent link: https://www.econbiz.de/10005375050
Persistent link: https://www.econbiz.de/10005375069
Recent studies have analyzed optimal reinsurance contracts within the framework of profit maximization and/or risk minimization. This type of framework, however, does not consider reinsurance as a tool for capital management and financing. In the present paper, we consider different proportional...
Persistent link: https://www.econbiz.de/10011077797
Persistent link: https://www.econbiz.de/10010728677
Guaranteed lifetime withdrawal benefits (GLWB) embedded in variable annuities have become an increasingly popular type of life annuity designed to cover systematic mortality risk while providing protection to policyholders from downside investment risk. This paper provides an extensive study of...
Persistent link: https://www.econbiz.de/10010930893
This Special Issue of Geneva Papers on Risk and Insurance - Issues and Practice contains 10 contributions to the academic literature all dealing with longevity risk and capital markets. Draft versions of the papers were presented at Longevity Six: The Sixth International Longevity Risk and...
Persistent link: https://www.econbiz.de/10009367971
The cost of capital is an important factor determining the premiums charged by life insurers issuing life annuities. This capital cost can be reduced by hedging longevity risk with longevity swaps, a form of reinsurance. We assess the costs of longevity risk management using indemnity based...
Persistent link: https://www.econbiz.de/10010753215