The purpose of this article is to value some life insurance contracts in a stochastic interest rate environment taking into account the default risk of the underlying insurance company. The participating life insurance contracts considered here can be expressed as portfolios of barrier options...

We investigate the impact of counterparty risk on contract design in the reinsurance market. We study a multiplicative default risk model, with partial recovery and where the probability of the reinsurer's default depends on the loss incurred by the insurer. The seller is assumed to be...

Insurance activities cannot be solely based on pooling arguments as issued policies share common risk drivers which can be hard to diversify. These risks can be transferred from insurers to reinsurers. We describe the reinsurance market and discuss the demand for reinsurance. Moral hazard issues...