Low interest rates are becoming a threat to the stability of the life insurance industry, especially in countries such as Germany, where products with relatively high guaranteed returns sold in the past still represent a prominent share of the total portfolio. This contribution aims to assess...

We explore the benefits of intergenerational risk-sharing through both private funded pensions and via the public debt. We use a multi-period overlapping generations model with a PAYG pension pillar, a funded pension pillar and a government. Shocks are smoothed via the public debt and variations...

We explore how members of a collective pension scheme can share inflation risks in the absence of suitable financial market instruments. Using intergenerational risk sharing arrangements, risks can be allocated better across the various participants of a collective pension scheme than would be...

Das Eingehen von Pensionsverpflichtungen ist für Unternehmen mit vielfältigen Risiken verbunden. In diesem Papier werden am Beispiel der Pensionszusage die Auswirkungen zweier Risikofaktoren auf die Pensionsrückstellungen von Unternehmen untersucht: Des vorzeitigen Rentenbezugs und des für...

This paper discusses what is longevity risk, why it is important, approaches used by the West to manage longevity risk and what lessons can be learnt by Asian countries from the experiences of the West. Increasing and uncertain longevity has emerged as a key risk affecting individuals, pension...

Longevity risk is the risk that the promised recipient of lifetime cashflows ends up living much longer than originally anticipated, thus causing a shortfall in funding. A related risk, reimbursement risk is the risk that providers of health insurance face when new and expensive drugs are...

Historical VaR, CVaR and ES (Expected Shortfall) to LIQUIDATION Software is a model characterized by its straightforwardness, allowing regulators measure risk using a standard database of primitive factors and portfolio positions only, leaving little error margin in comparing market risk for...

Developing a liquid longevity market requires reliable and well-designed financial instruments. An index-based longevity swap and a cap are analyzed in this paper under a tractable stochastic mortality model. The model is calibrated using Australian mortality data and analytical formulas for...

The absolute value of the distinguishing factor that exist between losses employed in triggering the occurrences of CAT bonds and the exact losses for an insurer is considered Basis Risk. This kind of risk is not only related to insurers only but also CAT bond investors as well. This is because...

This study aims to analyze how perceived financial risk affects an investor’s decision to invest continuously through peer-to-peer lending (P2P) platforms in Indonesia. We also examine how perceptions of information asymmetry and perceptions of regulatory uncertainty affect an investor’s...